Utility-based hedging and pricing with a nontraded asset for jump processes

DOI10.1016/j.na.2009.02.105zbMath1238.91067OpenAlexW2060062395MaRDI QIDQ424380

Claudia Ceci, Anna Gerardi

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

zbMATH Keywords

utility maximizationjump diffusionsminimal entropy measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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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