Asymptotic power utility-based pricing and hedging
نویسندگان
چکیده
منابع مشابه
On Utility-Based Investment, Pricing and Hedging in Incomplete Markets
This thesis deals with rational investors who maximize their expected utility in incomplete markets. In Part I, we consider models where incompleteness is induced by jumps and stochastic volatility. Using martingale methods we determine optimal investment strategies for power utility in a wide class of different models. Moreover, we show how first-order approximations of utility-based prices an...
متن کاملA note on utility based pricing and asymptotic risk diversification
In principle, liabilities combining both insurancial risks (e.g. mortality/longevity, crop yield,...) and pure financial risks cannot be priced neither by applying the usual actuarial principles of diversification, nor by arbitrage-free replication arguments. Still, it has been often proposed in the literature to combine these two approaches by suggesting to hedge a pure financial payoff comput...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملPricing and Hedging Volatility Derivatives∗
This paper studies the pricing and hedging of variance swaps and other volatility derivatives, including volatility swaps and variance options, in the Heston stochastic volatility model. Pricing and hedging results are derived using partial differential equation techniques. We formulate an optimization problem to determine the number of options required to best hedge a variance swap. We propose...
متن کاملPricing and Hedging Spread Options
We survey the theoretical and the computational problems associated with the pricing of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general overview of the common features of all the spread options by discussing in detail their roles as spe...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2013
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-013-0095-8