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.

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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