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Martin Groth

University of Oslo

PO Box 6706 St Olavs plass

Oslo, N-0317

Norway

  • University of Oslo

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Scholarly Papers (1)

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The Implied Risk Aversion from Utility Indifference Option Pricing in a Stochastic Volatility Model

International Journal of Applied Mathematics & Statistics, Vol. 16, No. M10, pp. 11-37, March 2010
Number of pages: 27 Posted: 11 Oct 2009 Last Revised: 25 Nov 2009
Fred Espen Benth, Martin Groth and Carl Lindberg
University of Oslo, University of Oslo and Chalmers University of Technology
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Abstract:

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stochastic volatility, utility indifference option pricing, risk aversion, Lévy processes