Fitted finite volume method for indifference pricing in an exponential utility regime-switching model

Tihomir B. Gyulov, Miglena N. Koleva, Lubin G. Vulkov. Fitted finite volume method for indifference pricing in an exponential utility regime-switching model. J. Computational Applied Mathematics, 387:112493, 2021. [doi]

Authors

Tihomir B. Gyulov

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Miglena N. Koleva

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Lubin G. Vulkov

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