Pricing and hedging in the presence of extraneous risks
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References listed on IDEAS
- Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Michael Monoyios, 2010. "Utility-Based Valuation and Hedging of Basis Risk With Partial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(6), pages 519-551.
- Ying Jiao & Huyên Pham, 2011. "Optimal investment with counterparty risk: a default-density model approach," Finance and Stochastics, Springer, vol. 15(4), pages 725-753, December.
- Gibson, Rajna & Murawski, Carsten, 2013. "Margining in derivatives markets and the stability of the banking sector," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1119-1132.
More about this item
KeywordsNonmarket risks Incomplete markets Utility based pricing Event risk Fair price;
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