Entropic Conditions and Hedging

DOI10.1051/ps:2007015zbMath1179.91092OpenAlexW2042538398MaRDI QIDQ5429599

Samuel Njoh

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2007__11__197_0

zbMATH Keywords

stochastic optimizationmartingale representation theorem

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
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• Pricing Via Utility Maximization and Entropy
• ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Exponential Hedging and Entropic Penalties
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
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