Utility Indifference Hedging with Exponential Additive Processes
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DOI: 10.1007/s10690-009-9106-4
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References listed on IDEAS
- 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.
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- Thorsten Rheinländer, 2005. "An entropy approach to the Stein and Stein model with correlation," Finance and Stochastics, Springer, vol. 9(3), pages 399-413, July.
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Cited by:
- Kallsen Jan & Rheinländer Thorsten, 2011. "Asymptotic utility-based pricing and hedging for exponential utility," Statistics & Risk Modeling, De Gruyter, vol. 28(1), pages 17-36, March.
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Keywords
Utility indifference pricing and hedging; Minimal entropy martingale measure; Exponential additive processes;All these keywords.
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