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(Research report / Forskningsrapport, 1986)
(Research report / Forskningsrapport, 1986)
(Research report / Forskningsrapport, 1998)
(Research report / Forskningsrapport, 1997)
(Research report / Forskningsrapport, 1996)
The Fastest Mixing Markov Chain Restricted Access
(Master thesis / Masteroppgave, 2014)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 1996)
(Research report / Forskningsrapport, 1992)
(Research report / Forskningsrapport, 2004)
We use the dynamic programming approach to derive an equation for the utility indifference price of Markovian claims in a stochastic volatility model proposed by Barndorff-Nielsen and Shephard (2001). The pricing equation ...