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20092020
most citedUtility maximisation and utility indifference price for exponential semi-martingale models with random factor

2 citations · 4 across the 12 of their papers we have counts for

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q-fin.MF2015

Utility Maximisation for Exponential Levy Models with option and information processes

Lioudmila Vostrikova

We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an o…