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- W1974080307 abstract "Expected utility maximization is a very useful approach for pricing options in an incomplete market. The results from this approach contain many important features observed by practitioners. However, under this approach, the option prices are determined by a set of coupled nonlinear partial differential equations in high dimensions. Thus, it represents numerous significant difficulties in both theoretical analysis and numerical computations. In this paper, we present accurate approximate solutions for this set of equations." @default.
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- W1974080307 date "2013-10-01" @default.
- W1974080307 modified "2023-09-29" @default.
- W1974080307 title "Option pricing in incomplete markets" @default.
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- W1974080307 doi "https://doi.org/10.1016/j.aml.2013.05.002" @default.
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