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
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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.

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