Pages that link to "Item:Q4551807"

The following pages link to Exponential Hedging and Entropic Penalties (Q4551807):

Displayed 50 items.

• Game contingent claims in complete and incomplete markets (Q705897) ‎ (← links)
• Optimal static-dynamic hedges for exotic options under convex risk measures (Q734655) ‎ (← links)
• Bounds for the utility-indifference prices of non-traded assets in incomplete markets (Q816441) ‎ (← links)
• The minimal entropy martingale measures for exponential additive processes (Q841854) ‎ (← links)
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (Q853860) ‎ (← links)
• Convergence of utility indifference prices to the superreplication price (Q857825) ‎ (← links)
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) ‎ (← links)
• Optimal investment for an insurer with exponential utility preference (Q865611) ‎ (← links)
• Characterisation of optimal dual measures via distortion (Q882491) ‎ (← links)
• Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858) ‎ (← links)
• An analytical characterization for an optimal change of Gaussian measures (Q955485) ‎ (← links)
• Convergence of utility indifference prices to the superreplication price: the whole real line case (Q996718) ‎ (← links)
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (Q997416) ‎ (← links)
• Variance-optimal hedging for processes with stationary independent increments (Q997954) ‎ (← links)
• Asymptotic analysis of hedging errors in models with jumps (Q1019621) ‎ (← links)
• A dual characterization of self-generation and exponential forward performances (Q1049561) ‎ (← links)
• Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives) (Q1408118) ‎ (← links)
• Rational hedging and valuation of integrated risks under constant absolute risk aversion. (Q1413332) ‎ (← links)
• Pricing contingent claims in incomplete markets when the holder can choose among different payoffs. (Q1413354) ‎ (← links)
• Utility based optimal hedging in incomplete markets. (Q1872394) ‎ (← links)
• Utility maximizing entropy and the second law of thermodynamics. (Q1879820) ‎ (← links)
• Dual formulation of the utility maximization problem: the case of nonsmooth utility. (Q1879886) ‎ (← links)
• Convex pricing by a generalized entropy penalty (Q2426607) ‎ (← links)
• The supermartingale property of the optimal wealth process for general semimartingales (Q2463714) ‎ (← links)
• On convergence to the exponential utility problem (Q2464849) ‎ (← links)
• Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (Q2464858) ‎ (← links)
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448) ‎ (← links)
• Utility maximization in incomplete markets (Q2572389) ‎ (← links)
• Dynamic exponential utility indifference valuation (Q2572403) ‎ (← links)
• The minimal entropy measure and an Esscher transform in an incomplete market model (Q2643378) ‎ (← links)
• Wavelet Galerkin pricing of American options on Lévy driven assets (Q3375382) ‎ (← links)
• Principle of equivalent utility and universal variable life insurance pricing (Q3440855) ‎ (← links)
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation (Q3516396) ‎ (← links)
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (Q3608738) ‎ (← links)
• Pricing jump risk with utility indifference (Q3623407) ‎ (← links)
• A Note on Credit Insurance (Q3632839) ‎ (← links)
• The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps (Q3633143) ‎ (← links)
• Market Consistent Pricing of Insurance Products (Q3634589) ‎ (← links)
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028) ‎ (← links)
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (Q4419300) ‎ (← links)
• On the Existence of Minimax Martingale Measures (Q4548067) ‎ (← links)
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE (Q4673670) ‎ (← links)
• On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure (Q4678744) ‎ (← links)
• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (Q5312715) ‎ (← links)
• Fast deterministic pricing of options on Lévy driven assets (Q5315443) ‎ (← links)
• PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH (Q5324400) ‎ (← links)
• PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER (Q5386315) ‎ (← links)
• ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS (Q5386671) ‎ (← links)
• Entropic Conditions and Hedging (Q5429599) ‎ (← links)
• On Convergence to the Exponential Utility Problem with Jumps (Q5443470) ‎ (← links)