Utility indifference hedging with exponential additive processes
Rheinlander, Thorsten; and Steiger, Gallus
(2010)
Utility indifference hedging with exponential additive processes
Asia-Pacific Financial Markets, 17 (2).
p. 151.
ISSN 1387-2834
We determine the exponential utility indifference price and hedging strategy for contingent claims written on returns given by exponential additive processes. We proceed by linking the pricing measure to a certain second-order semi-linear Integro-PDE. As main application, we study the problem of hedging with basis risk.
| Item Type | Article |
|---|---|
| Copyright holders | © 2010 Elsevier |
| Departments | Statistics |
| DOI | 10.1007/s10690-009-9106-4 |
| Date Deposited | 28 Jan 2011 15:13 |
| URI | https://researchonline.lse.ac.uk/id/eprint/31861 |
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