Utility-Based Valuation and Hedging of Basis Risk With Partial Information

DOI10.1080/13504861003650883zbMath1202.91323OpenAlexW2090209035MaRDI QIDQ3063879

Michael Monoyios

Publication date: 15 December 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:14c5c4e6-3310-4f61-8631-c1b07607a3ec

zbMATH Keywords

filteringpartial informationbasis riskindifference valuation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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