Efficient approximations for utility-based pricing

DOI10.1007/s11009-024-10076-zzbMath1537.91355MaRDI QIDQ6549635

Laurence Carassus, Massinissa Ferhoune

Publication date: 4 June 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodutility-based pricingincomplete modelutility-based hedging

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• On the Laplace transform of the lognormal distribution
• Mean-variance hedging in continuous time
• Mean-variance hedging for general claims
• On the Lambert \(w\) function
• Real options with constant relative risk aversion
• Explicit solutions of some utility maximization problems in incomplete markets
• Pricing Via Utility Maximization and Entropy
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Performance of utility-based strategies for hedging basis risk
• Optimal hedging and parameter uncertainty
• A solution approach to valuation with unhedgeable risks

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