most citedPseudo Linear Pricing Rule for Utility Indifference Valuation

2 citations · 3 across the 3 of their papers we have counts for

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2 papers

math.PR2023

A robust -stable central limit theorem under sublinear expectation without integrability condition

Lianzi Jiang, Gechun Liang

This article relaxes the integrability condition imposed in the literature for the robust -stable central limit theorem under sublinear expectation. Specifically, for $α\in(0,1]…

q-fin.PM2014★ 2 cited

Pseudo Linear Pricing Rule for Utility Indifference Valuation

Vicky Henderson, Gechun Liang

This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference pr…