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 |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 28 Jan 2011 15:13 |
| Last Modified: | 05 Jan 2024 17:48 |
| URI: | http://eprints.lse.ac.uk/id/eprint/31861 |
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