Exponential Hedging and Entropic Penalties

DOI10.1111/1467-9965.02001zbMath1072.91019OpenAlexW3124521936MaRDI QIDQ4551807

Freddy Delbaen, Peter Grandits, Dominick Samperi, Thorsten Rheinländer, Christophe Stricker, Martin Schweizer

Publication date: 28 October 2002

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.02001

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Portfolio theory (91G10)

Related Items (only showing first 100 items - show all)

Pricing Principle via Tsallis Relative Entropy in Incomplete Markets ⋮ PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS ⋮ Endogenous Noise Trackers in a Radner Equilibrium ⋮ Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality ⋮ The Minimal Entropy Martingale Measure for Exponential Markov Chains ⋮ RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ⋮ A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets ⋮ Fast deterministic pricing of options on Lévy driven assets ⋮ A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators ⋮ PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH ⋮ Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process ⋮ On the minimal entropy martingale measure for Lévy processes ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Young, timid, and risk takers ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Pricing European options with stochastic volatility under the minimal entropy martingale measure ⋮ Existence of an equilibrium with limited participation ⋮ Optimal investment in a large population of competitive and heterogeneous agents ⋮ On the cumulant transforms for Hawkes processes ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes ⋮ MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS ⋮ PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER ⋮ ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS ⋮ UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION ⋮ INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS ⋮ Optimal Trading Policies for Wind Energy Producer ⋮ A note on admissibility when the credit line is infinite ⋮ AUTOMATED OPTION PRICING: NUMERICAL METHODS ⋮ Explicit Representations for Utility Indifference Prices ⋮ Entropic Conditions and Hedging ⋮ EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS ⋮ STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE ⋮ On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure ⋮ Duality theory for exponential utility-based hedging in the Almgren-Chriss model ⋮ On Convergence to the Exponential Utility Problem with Jumps ⋮ Utility indifference pricing of derivatives written on industrial loss indices ⋮ Indifference Pricing and Hedging for Volatility Derivatives ⋮ OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES ⋮ PARTIAL EQUILIBRIUM AND MARKET COMPLETION ⋮ An Equilibrium Model for Spot and Forward Prices of Commodities ⋮ Forward Exponential Indifference Valuation in an Incomplete Binomial Model ⋮ Esscher transforms and the minimal entropy martingale measure for exponential Lévy models ⋮ OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS ⋮ Non-parametric Pricing and Hedging of Exotic Derivatives ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ Option Pricing Under Autoregressive Random Variance Models ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Utility based optimal hedging in incomplete markets. ⋮ Utility maximizing entropy and the second law of thermodynamics. ⋮ Dual formulation of the utility maximization problem: the case of nonsmooth utility. ⋮ Stability of utility maximization in nonequivalent markets ⋮ THE MINIMAL κ-ENTROPY MARTINGALE MEASURE ⋮ The minimal entropy martingale measures for exponential additive processes ⋮ On the Existence of Minimax Martingale Measures ⋮ Utility maximization underg*-expectation ⋮ Nash Equilibria for Game Contingent Claims with Utility-Based Hedging ⋮ From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes ⋮ Exponential models by Orlicz spaces and applications ⋮ The minimal entropy measure and an Esscher transform in an incomplete market model ⋮ Convergence of utility indifference prices to the superreplication price ⋮ Indifference pricing for CRRA utilities ⋮ The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models ⋮ Three Essays on Exponential Hedging with Variable Exit Times ⋮ OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS ⋮ LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS ⋮ Optimal investment for an insurer with exponential utility preference ⋮ The exp-UIV for Markets with Partial Information and Complete Information ⋮ Characterisation of optimal dual measures via distortion ⋮ Simple bounds for utility maximization with small transaction costs ⋮ Pricing equity-linked pure endowments with risky assets that follow Lévy processes ⋮ Approximate indifference pricing in exponential Lévy models ⋮ Indifference valuation in incomplete binomial models ⋮ How non-arbitrage, viability and numéraire portfolio are related ⋮ Trading with small nonlinear price impact ⋮ A note on utility based pricing and asymptotic risk diversification ⋮ On admissible strategies in robust utility maximization ⋮ Accounting for risk aversion in derivatives purchase timing ⋮ Convex pricing by a generalized entropy penalty ⋮ Utility-based hedging and pricing with a nontraded asset for jump processes ⋮ Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives) ⋮ Exponential utility indifference valuation in two Brownian settings with stochastic correlation ⋮ A note on utility maximization with unbounded random endowment ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ Risk-averse asymptotics for reservation prices ⋮ Optimal martingale measures for defaultable assets ⋮ Rational hedging and valuation of integrated risks under constant absolute risk aversion. ⋮ Pricing contingent claims in incomplete markets when the holder can choose among different payoffs. ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Utility indifference hedging with exponential additive processes ⋮ Exponential utility maximization under partial information ⋮ On Kolmogorov equations for anisotropic multivariate Lévy processes ⋮ Utility indifference valuation for jump risky assets ⋮ Continuous equilibrium in affine and information-based capital asset pricing models ⋮ Indifference pricing under SAHARA utility ⋮ Entropy Maximization in Finance ⋮ Convex duality in optimal investment under illiquidity ⋮ Option pricing and Esscher transform under regime switching ⋮ Partial equilibria with convex capital requirements: existence, uniqueness and stability ⋮ Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces

Cites Work

This page was built for publication: Exponential Hedging and Entropic Penalties