11 research outputs found
âUtility Functions: From Risk Theory to Financeâ, Hans U. Gerber and GĂ©rard Pafum, July 1998
A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
Comparison of Option Prices in Semimartingale Models
Contingent claim valuation, Semimartingale model, Price orderings, Propagation of convexity, 91B28, 60J75, G13,