ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Dynamic Exponential Utility Indifference Valuation

We study the dynamics of the exponential utility indifference value process C(B; α) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B; α) is (the first component of) the unique solution of a backward stochastic differential equation with a quadratic generator and obtain BMO estimates for the components of this solution. This allows us to ...

متن کامل

Utility-Indifference Hedging and Valuation via Reaction-Diffusion Systems

This article studies the exponential utility-indifference approach to the valuation and hedging problem in incomplete markets. We consider a financial model which is driven by a system of interacting Itô and point processes. The model allows for a variety of mutual stochastic dependencies between the tradable and non-tradable factors of risk, but still permits for a constructive and fairly expl...

متن کامل

Robust Portfolio Choice and Indifference Valuation

We solve, theoretically and numerically, the problems of optimal portfolio choice and indifference valuation in a general continuous-time setting. The setting features (i) ambiguity and ambiguity averse preferences, (ii) discontinuities in the asset price processes, with a general and possibly infinite activity jump part next to a continuous diffusion part, and (iii) general and possibly non-co...

متن کامل

Exponential utility indifference valuation in a general semimartingale model

We study the exponential utility indifference valuation of a contingent claim H when asset prices are given by a general semimartingale S. Under mild assumptions on H and S, we prove that a no-arbitrage type condition is fulfilled if and only if H has a certain representation. In this case, the indifference value can be written in terms of processes from that representation, which is useful in ...

متن کامل

Exponential Hedging with Optimal Stopping and Application to ESO Valuation

We study the problem of hedging early exercise (American) options with respect to exponential utility within a general incomplete market model. This leads us to construct a duality formula involving relative entropy minimization and optimal stopping. We further consider claims with multiple exercises, and static-dynamic hedges of American claims with other European and American options. The pro...

متن کامل

ذخیره 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: International Journal of Theoretical and Applied Finance

سال: 2010

ISSN: 0219-0249,1793-6322

DOI: 10.1142/s0219024910006121