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A scaling limit for utility indifference prices in the discretised Bachelier model |
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| Authors: | Cohen Asaf Dolinsky Yan |
| Affiliation: | 1.Department of Mathematics, University of Michigan, Ann Arbor, MI, 48109, USA ;2.Department of Statistics, Hebrew University, Jerusalem, Israel ; |
| Abstract: | Finance and Stochastics - We consider the discretised Bachelier model where hedging is done on a set of equidistant times. Exponential utility indifference prices are studied for path-dependent... |
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