A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk

Vicky Henderson, Gechun Liang. A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk. SIAM J. Control and Optimization, 54(2):690-717, 2016. [doi]

Authors

Vicky Henderson

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Gechun Liang

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