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Rational hedging and valuation of integrated risks under constant absolute risk aversion

Citations

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Cited by:

  1. Johannes Gerer & Gregor Dorfleitner, 2018. "Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions," Review of Derivatives Research, Springer, vol. 21(2), pages 175-199, July.
  2. Owari, Keita & 尾張, 圭太, 2008. "Robust Exponential Hedging and Indifference Valuation," Discussion Papers 2008-09, Graduate School of Economics, Hitotsubashi University.
  3. Huiwen Yan & Gechun Liang & Zhou Yang, 2015. "Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints," Papers 1503.08969, arXiv.org.
  4. Takashi Kato & Jun Sekine & Hiromitsu Yamamoto, 2014. "A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 151-174, May.
  5. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, March.
  6. Dahl, Mikkel & Moller, Thomas, 2006. "Valuation and hedging of life insurance liabilities with systematic mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 193-217, October.
  7. Gunther Leobacher & Philip Ngare, 2014. "Utility indifference pricing of derivatives written on industrial loss indexes," Papers 1404.0879, arXiv.org.
  8. Ying Hu & Gechun Liang & Shanjian Tang, 2017. "Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility," Papers 1707.00199, arXiv.org, revised Oct 2024.
  9. Adrien Nguyen Huu, 2013. "Investment under uncertainty, competition and regulation," Papers 1309.1844, arXiv.org, revised Feb 2014.
  10. Weidong Tian & Daisuke Yoshikawa, 2017. "Analyzing Equilibrium in Incomplete Markets with Model Uncertainty," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 235-262, June.
  11. Xu, Wei & Odening, Martin & Musshoff, Oliver, 2007. "Indifference Pricing of Weather Insurance," 101st Seminar, July 5-6, 2007, Berlin Germany 9267, European Association of Agricultural Economists.
  12. Barrieu, Pauline & El Karoui, Nicole, 2005. "Inf-convolution of risk measures and optimal risk transfer," LSE Research Online Documents on Economics 2829, London School of Economics and Political Science, LSE Library.
  13. Kizaki, Keisuke & Saito, Taiga & Takahashi, Akihiko, 2024. "A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 132-155.
  14. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
  15. Michael Monoyios, 2012. "Malliavin calculus method for asymptotic expansion of dual control problems," Papers 1209.6497, arXiv.org, revised Oct 2013.
  16. 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.
  17. Andreas Tsanakas & Evangelia Desli, 2005. "Measurement and Pricing of Risk in Insurance Markets," Risk Analysis, John Wiley & Sons, vol. 25(6), pages 1653-1668, December.
  18. Kunz, Andreas & Popp, Markus, 2021. "Economic Neutral Position: How to best replicate not fully replicable liabilities?," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 53-67.
  19. Shuoqing Deng & Xiaolu Tan & Xiang Yu, 2020. "Utility Maximization with Proportional Transaction Costs Under Model Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1210-1236, November.
  20. Ngare, Philip & Kweyu, Martin & Huka, Chris, 2015. "Modelling risk of financing agribusiness in Kenya," KBA Centre for Research on Financial Markets and Policy Working Paper Series 13, Kenya Bankers Association (KBA).
  21. Keisuke Kizaki & Taiga Saito & Akihiko Takahashi, 2022. "A Multi-agent Incomplete Equilibrium Model and Its Applications to Reinsurance Pricing and Life-Cycle Investment," CIRJE F-Series CIRJE-F-1206, CIRJE, Faculty of Economics, University of Tokyo.
  22. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
  23. Keisuke Kizaki & Taiga Saito & Akihiko Takahashi, 2022. "A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment," CARF F-Series CARF-F-551, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2023.
  24. Ludkovski, Michael & Young, Virginia R., 2008. "Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 14-30, February.
  25. Lixin Wu & Min Dai, 2009. "Pricing jump risk with utility indifference," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 177-186.
  26. repec:hal:wpaper:hal-00831263 is not listed on IDEAS
  27. Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
  28. Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
  29. Mahan Tahvildari, 2021. "Forward indifference valuation and hedging of basis risk under partial information," Papers 2101.00251, arXiv.org.
  30. Vicky Henderson & Gechun Liang, 2014. "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, vol. 18(3), pages 593-615, July.
  31. Mark Owen & Gordan Zitkovic, 2007. "Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing," Papers 0706.0478, arXiv.org, revised Sep 2007.
  32. Benedetti, Giuseppe & Campi, Luciano, 2016. "Utility indifference valuation for non-smooth payoffs with an application to power derivatives," LSE Research Online Documents on Economics 63016, London School of Economics and Political Science, LSE Library.
  33. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 423-448, June.
  34. 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 1-17, September.
  35. Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2018. "Indifference pricing of pure endowments via BSDEs under partial information," Papers 1804.00223, arXiv.org, revised Jul 2020.
  36. Scott Robertson & Konstantinos Spiliopoulos, 2014. "Indifference pricing for Contingent Claims: Large Deviations Effects," Papers 1410.0384, arXiv.org, revised Feb 2016.
  37. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Finance and Stochastics, Springer, vol. 23(1), pages 239-273, January.
  38. Takashi Kato & Jun Sekine & Hiromitsu Yamamoto, 2014. "A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information," Papers 1406.4275, arXiv.org.
  39. Giuseppe Benedetti & Luciano Campi, 2013. "Utility indifference valuation for non-smooth payoffs with an application to power derivatives," Papers 1307.4591, arXiv.org.
  40. Scott Robertson & Zhe Cheng, 2015. "Endogenous Current Coupons," Papers 1510.02010, arXiv.org.
  41. 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.
  42. Keita Owari, 2011. "A Note on Utility Maximization with Unbounded Random Endowment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 89-103, March.
  43. Fischer, Tom, 2007. "A law of large numbers approach to valuation in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 35-57, January.
  44. Regis Houssou & Olivier Besson, 2010. "Indifference of Defaultable Bonds with Stochastic Intensity models," Papers 1003.4118, arXiv.org.
  45. Shuoqing Deng & Xiaolu Tan & Xiang Yu, 2018. "Utility maximization with proportional transaction costs under model uncertainty," Papers 1805.06498, arXiv.org, revised Aug 2019.
  46. Mark P. Owen & Gordan Žitković, 2009. "Optimal Investment With An Unbounded Random Endowment And Utility‐Based Pricing," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 129-159, January.
  47. Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2017. "Utility indifference pricing and hedging for structured contracts in energy markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 265-303, April.
  48. Monoyios, Michael, 2007. "The minimal entropy measure and an Esscher transform in an incomplete market model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1070-1076, June.
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