Utility-based hedging and pricing with a nontraded asset for jump processes
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Publication:424380
DOI10.1016/j.na.2009.02.105zbMath1238.91067OpenAlexW2060062395MaRDI QIDQ424380
Publication date: 31 May 2012
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2009.02.105
Related Items (5)
Optimal proportional reinsurance and investment for stochastic factor models ⋮ Utility indifference valuation for jump risky assets ⋮ Hedging of contingent claims written on non traded assets under Markov-modulated models ⋮ Stochastic control methods: Hedging in a market described by pure jump processes ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk
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