Utility indifference hedging with exponential additive processes (Q1959132): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-009-9106-4
+Normal rank
@@ Property / OpenAlex ID @@
+W2076688919
@@ Property / OpenAlex ID: W2076688919 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5505177
@@ Property / cites work: Q5505177 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential Hedging and Entropic Penalties
@@ Property / cites work: Exponential Hedging and Entropic Penalties / rank @@
+Normal rank
@@ Property / cites work @@
+Minimal entropy preserves the Lévy property: how and why
+Normal rank
@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes
+Normal rank
@@ Property / cites work @@
+The minimal entropy martingale measures for geometric Lévy processes
+Normal rank
@@ Property / cites work @@
+From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
+Normal rank
@@ Property / cites work @@
+The minimal entropy martingale measures for exponential additive processes
+Normal rank
@@ Property / cites work @@
+Optimal portfolios for logarithmic utility.
@@ Property / cites work: Optimal portfolios for logarithmic utility. / rank @@
+Normal rank
@@ Property / cites work @@
+On the minimal entropy martingale measure.
@@ Property / cites work: On the minimal entropy martingale measure. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4274285
@@ Property / cites work: Q4274285 / rank @@
+Normal rank
@@ Property / cites work @@
+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
+Normal rank
@@ Property / cites work @@
+Q3774629
@@ Property / cites work: Q3774629 / rank @@
+Normal rank
@@ Property / cites work @@
+Sur l'int�grabilit� uniforme des martingales exponentielles
+Normal rank
@@ Property / cites work @@
+Geometric Lévy process \& MEMM pricing model and related estimation problems
+Normal rank
@@ Property / cites work @@
+An entropy approach to the Stein and Stein model with correlation
+Normal rank
@@ Property / cites work @@
+The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
+Normal rank