Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging

DOI10.1080/14697688.2013.816766zbMath1294.91171arXiv1205.3507OpenAlexW2210545002MaRDI QIDQ2879039

Igor Halperin, Andrey Itkin

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.3507

zbMATH Keywords

asset pricingincomplete marketscomputational financederivative pricing modelshedging with utility based preferencespricing with utility based preferencesquantitative finance techniques

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk ⋮ A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets

Cites Work

• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• An example of indifference prices under exponential preferences
• Finite difference discretization of the extended Fisher-Kolmogorov equation in two dimensions
• Credit derivatives and risk aversion
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS

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