Utility Indifference Hedging with Exponential Additive Processes
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 17 (2010)
Issue (Month): 2 (June)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Utility indifference pricing and hedging; Minimal entropy martingale measure; Exponential additive processes;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michael Monoyios, 2004. "Performance of utility-based strategies for hedging basis risk," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 245-255.
- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52.
- Esche, Felix & Schweizer, Martin, 2005. "Minimal entropy preserves the Lévy property: how and why," Stochastic Processes and their Applications, Elsevier, vol. 115(2), pages 299-327, February.
- Thorsten Rheinländer, 2005. "An entropy approach to the Stein and Stein model with correlation," Finance and Stochastics, Springer, vol. 9(3), pages 399-413, 07.
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