Kallsen, Jan and Rheinlander, Thorsten (2011) Asymptotic utility-based pricing and hedging for exponential utility. Statistics & decisions, 28 (1). pp. 17-36. ISSN 0721-2631
Abstract
This paper deals with pricing and hedging based on utility indifferences for exponential utility. We consider the limit for vanishing risk aversion or, equivalently, small quanities of the contingent claim. In first order approximation the utility indifference price and the corresponding hedge can be determined from the corresponding quadratic hedgin problem relative to the minimal entropy martingale measure. This extends dimilar results obtained by Mania and Schweizer, Becherer, and Kramkov and Sirbu.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.oldenbourg-link.com/loi/stnd |
| Additional Information: | © 2011 Oldenbourg Verlag |
| Library of Congress subject classification: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Journal of Economic Literature Classification System: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General |
| Sets: | Departments > Statistics Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/41550/ |
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