Utility based optimal hedging in incomplete markets.

DOI10.1214/aoap/1026915621zbMath1049.91082OpenAlexW1971845365MaRDI QIDQ1872394

Mark P. Owen

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1026915621

zbMATH Keywords

utility functionsfinancial mathematic

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (18)

Dual formulation of the utility maximization problem: the case of nonsmooth utility. ⋮ Non-linear filtering and optimal investment under partial information for stochastic volatility models ⋮ A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets ⋮ Indifference pricing for CRRA utilities ⋮ Characterisation of optimal dual measures via distortion ⋮ A note on utility based pricing and asymptotic risk diversification ⋮ A note on utility maximization with unbounded random endowment ⋮ Rational hedging and valuation of integrated risks under constant absolute risk aversion. ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Stability of Radner equilibria with respect to small frictions ⋮ ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS ⋮ Event risk, contingent claims and the temporal resolution of uncertainty ⋮ Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem ⋮ OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING ⋮ On the dual problem of utility maximization in incomplete markets ⋮ Indifference Pricing and Hedging for Volatility Derivatives ⋮ OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS ⋮ Principle of equivalent utility and universal variable life insurance pricing

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A general version of the fundamental theorem of asset pricing
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Optimal investment in incomplete markets when wealth may become negative.
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Pricing Via Utility Maximization and Entropy
• Bounds on European Option Prices under Stochastic Volatility
• Exponential Hedging and Entropic Penalties
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

This page was built for publication: Utility based optimal hedging in incomplete markets.