Rheinlander, Thorsten and Steiger, Gallus (2010) Utility indifference hedging with exponential additive processes. Asia-Pacific financial markets, 17 (2). p. 151. ISSN 1387-2834
Abstract
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 |
|---|---|
| Official URL: | http://www.springerlink.com/content/102851/ |
| Additional Information: | © 2010 Elsevier |
| Library of Congress subject classification: | H Social Sciences > HA Statistics |
| Sets: | Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/31861/ |
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