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- W1420861287 abstract "Abstract We consider a general local‐stochastic volatility model and an investor with exponential utility. For a European‐style contingent claim, whose payoff may depend on either a traded or nontraded asset, we derive an explicit approximation for both the buyer's and seller's indifference prices. For European calls on a traded asset, we translate indifference prices into an explicit approximation of the buyer's and seller's implied volatility surfaces. For European claims on a nontraded asset, we establish rigorous error bounds for the indifference price approximation. Finally, we implement our indifference price and implied volatility approximations in two examples." @default.
- W1420861287 created "2016-06-24" @default.
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- W1420861287 date "2016-05-26" @default.
- W1420861287 modified "2023-09-30" @default.
- W1420861287 title "INDIFFERENCE PRICES AND IMPLIED VOLATILITIES" @default.
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- W1420861287 doi "https://doi.org/10.1111/mafi.12129" @default.
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