INDIFFERENCE PRICING OF THE EXPONENTIAL LEVY MODELS

We consider the geometric Levy processes and we study the utility indi erence pricing approach for the European type option. Describing the investor's risk preferences by the socalled HARA-utilities we de ne the formulas for their value functions on the initially enlarged ltration and the equations for the indi erence prices.

Data and Resources

Additional Info

Field Value
Source https://hal.science/hal-00831102
Author Ellanskaya, Anastasia
Maintainer CCSD
Last Updated May 10, 2026, 20:13 (UTC)
Created May 10, 2026, 20:13 (UTC)
Identifier hal-00831102
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Laboratoire Angevin de Recherche en Mathématiques (LAREMA) ; Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)
creator Ellanskaya, Anastasia
date 2013-06-03T00:00:00
harvest_object_id c457ce6f-72e5-45bf-ab25-5859fec12bd3
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2024-05-02T00:00:00
set_spec type:UNDEFINED