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Utility indifference hedging with exponential additive processes

Rheinlander, Thorsten and Steiger, Gallus (2010) Utility indifference hedging with exponential additive processes. Asia-Pacific Financial Markets, 17 (2). p. 151. ISSN 1387-2834

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Identification Number: 10.1007/s10690-009-9106-4

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
Subjects: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Date Deposited: 28 Jan 2011 15:13
Last Modified: 28 Jan 2011 15:13
URI: http://eprints.lse.ac.uk/id/eprint/31861

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