Pricing and hedging in the presence of extraneous risks

DOI10.1016/j.spa.2006.10.004zbMath1124.91044OpenAlexW2122836334MaRDI QIDQ885263

Julien Hugonnier, Pierre Collin Dufresne

Publication date: 8 June 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://infoscience.epfl.ch/record/141864/files/extraneous.pdf

zbMATH Keywords

incomplete marketsevent riskfair pricenonmarket risksutility based pricing

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (8)

Pricing and trading credit default swaps in a hazard process model ⋮ Convergence of utility indifference prices to the superreplication price ⋮ Indifference pricing for CRRA utilities ⋮ Optimal investment with counterparty risk: a default-density model approach ⋮ Optimal investment decisions when time-horizon is uncertain ⋮ ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS ⋮ Event risk, contingent claims and the temporal resolution of uncertainty ⋮ Utility-Based Valuation and Hedging of Basis Risk With Partial Information

Cites Work

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• Pricing Via Utility Maximization and Entropy
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• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Arbitrage Theory in Continuous Time

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