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Using recent, original approach, neutral and indifference pricing PDEs are derived for general multi-dimensional Markovian diffusive market models and, under certain conditions, for any utility of wealth. In the case of portfolios of contracts the pricing PDE system is proved for neutral, while conjectured and discussed for indifference pricing. Hedging formulas are given too. Some special cases are derived as well to demonstrate the consistency with the well known results.
Risk and Decision Analysis – IOS Press
Published: Jan 1, 2013
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