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Utility Indifference Hedging with Exponential Additive Processes

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Listed author(s):
  • Thorsten Rheinländer

    ()

  • Gallus Steiger

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10690-009-9106-4
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    Article provided by Springer & Japanese Association of Financial Economics and Engineering in its journal Asia-Pacific Financial Markets.

    Volume (Year): 17 (2010)
    Issue (Month): 2 (June)
    Pages: 151-169

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    Handle: RePEc:kap:apfinm:v:17:y:2010:i:2:p:151-169
    DOI: 10.1007/s10690-009-9106-4
    Contact details of provider: Web page: http://www.springer.com

    Web page: http://www.jafee.gr.jp/

    Order Information: Web: http://www.springer.com/finance/journal/10690/PS2

    Keywords: Utility indifference pricing and hedging; Minimal entropy martingale measure; Exponential additive processes;

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    1. 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.
    2. 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.
    3. Michael Monoyios, 2004. "Performance of utility-based strategies for hedging basis risk," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 245-255.
    4. 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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    Cited by:

    1. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, September.
    2. 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.
    3. Johannes Gerer & Gregor Dorfleitner, 2016. "A Note On Utility Indifference Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 01-17.

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