Utility indifference hedging with exponential additive processes

DOI10.1007/s10690-009-9106-4zbMath1195.91165OpenAlexW2076688919MaRDI QIDQ1959132

Thorsten Rheinländer, Gallus Steiger

Publication date: 6 October 2010

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9106-4

zbMATH Keywords

minimal entropy martingale measureexponential additive processesutility indifference pricing and hedging

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (35R09)

Related Items

A NOTE ON UTILITY INDIFFERENCE PRICING

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The minimal entropy martingale measures for exponential additive processes
• Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• Geometric Lévy process \& MEMM pricing model and related estimation problems
• The minimal entropy martingale measures for geometric Lévy processes
• On the minimal entropy martingale measure.
• Optimal portfolios for logarithmic utility.
• Minimal entropy preserves the Lévy property: how and why
• An entropy approach to the Stein and Stein model with correlation
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Exponential Hedging and Entropic Penalties
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets