Utility Indifference Hedging with Exponential Additive Processes
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 17 (2010)
Issue (Month): 2 (June)
Contact details of provider:
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.:
- Esche, Felix & Schweizer, Martin, 2005. "Minimal entropy preserves the LÃ©vy property: how and why," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 115(2), pages 299-327, February.
- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 10(1), pages 39-52.
- Michael Monoyios, 2004. "Performance of utility-based strategies for hedging basis risk," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(3), pages 245-255.
- Thorsten RheinlÃ¤nder, 2005. "An entropy approach to the Stein and Stein model with correlation," Finance and Stochastics, Springer, vol. 9(3), pages 399-413, 07.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.