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.
|Additional Information:||© 2010 Elsevier|
|Library of Congress subject classification:||H Social Sciences > HA Statistics|
|Sets:||Departments > Statistics|
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