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Vellekoop, Michel's
Scholarly Papers
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Total Downloads
475 |
Total
Citations
2 |
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Hoogland, Jiri Centrum voor Wiskunde en Informatica (CWI) Neumann, Dimitri Centrum voor Wiskunde en Informatica (CWI) Vellekoop, Michel University of Twente - Department of Applied Mathematics
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option pricing, jump diffusion, local scale invariance, homogeneity, partial differential difference equations
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Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions
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Chen, An University of Ulm - Department of Mathematics and Economics Pelsser, Antoon Maastricht University Vellekoop, Michel University of Twente - Department of Applied Mathematics
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Posted:
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15 Feb 10
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Last Revised:
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08 Sep 11
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108
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Chen, An University of Ulm - Department of Mathematics and Economics Pelsser, Antoon Maastricht University Vellekoop, Michel University of Twente - Department of Applied Mathematics
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01 Jul 11
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Last Revised:
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08 Sep 11
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27
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SAHARA utility, optimal investment problem, dual approach, utility indifference
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Chen, An University of Ulm - Department of Mathematics and Economics Pelsser, Antoon Maastricht University Vellekoop, Michel University of Twente - Department of Applied Mathematics
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15 Feb 10
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Last Revised:
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08 Sep 11
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81
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SAHARA utility, optimal investment problem, dual approach, utility indifference pricing
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3.
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Beumee, Johan G. B. MP Capital Vellekoop, Michel University of Twente - Department of Applied Mathematics
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Hedging, Default, Jump-Diffusion
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Records 1 -
3
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