Indifference Pricing and Hedging for Volatility Derivatives
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Publication:5459528
DOI10.1080/13527260600963851zbMath1213.91152OpenAlexW1993478052MaRDI QIDQ5459528
Publication date: 29 April 2008
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13527260600963851
certainty equivalentincomplete marketsHeston modelexponential utilityvariance swapvolatility riskvolatility derivative
Related Items (12)
Characterisation of optimal dual measures via distortion ⋮ Large time asymptotic problems for optimal stochastic control with superlinear cost ⋮ Exponential utility indifference valuation in two Brownian settings with stochastic correlation ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ INDIFFERENCE PRICES AND IMPLIED VOLATILITIES ⋮ Explicit Representations for Utility Indifference Prices ⋮ Optimal investment with derivatives and pricing in an incomplete market ⋮ A NOTE ON UTILITY INDIFFERENCE PRICING ⋮ HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS ⋮ On the parabolic equation for portfolio problems ⋮ Bond indifference prices ⋮ Forward indifference valuation of American options
Cites Work
- Characterisation of optimal dual measures via distortion
- Utility based optimal hedging in incomplete markets.
- An example of indifference prices under exponential preferences
- Pricing options on realized variance
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Utility–indifference hedging and valuation via reaction–diffusion systems
- 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
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- On the martingale property of stochastic exponentials
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Utility maximization in incomplete markets with random endowment
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