Utility indifference hedging with exponential additive processes
Rheinlander, T. & Steiger, G.
(2010).
Utility indifference hedging with exponential additive processes.
Asia-Pacific Financial Markets,
17(2), p. 151.
https://doi.org/10.1007/s10690-009-9106-4
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 | LSE > Academic Departments > Statistics |
| DOI | 10.1007/s10690-009-9106-4 |
| Date Deposited | 28 Jan 2011 |
| URI | https://researchonline.lse.ac.uk/id/eprint/31861 |
Explore Further
- https://www.scopus.com/pages/publications/77955096591 (Scopus publication)
- http://www.springerlink.com/content/102851/ (Official URL)