Exponential Hedging and Entropic Penalties
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Cites work
- Continuous exponential martingales and BMO
- Dynamic programming and mean-variance hedging
- Introduction to a theory of value coherent with the no-arbitrage principle
- Mean-variance hedging and numéraire
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
- On the Existence of Minimax Martingale Measures
- Pricing contingent claims on stocks driven by Lévy processes
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Weighted norm inequalities and hedging in incomplete markets
Cited in
(only showing first 100 items - show all)- Asymptotic analysis of hedging errors in models with jumps
- A dual characterization of self-generation and exponential forward performances
- Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives)
- 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
- An example of a stochastic equilibrium with incomplete markets
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- 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.
- 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
- Utility indifference hedging with exponential additive processes
- Martingale Schrödinger bridges and optimal semistatic portfolios
- Trading with small nonlinear price impact
- Indifference pricing under SAHARA utility
- Generalized entropic risk measures and related BSDEs
- Optimal investment and contingent claim valuation in illiquid markets
- Backward stochastic partial differential equations related to utility maximization and hedging
- Event risk, contingent claims and the temporal resolution of uncertainty
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
- Optimal equivalent probability measures under enlarged filtrations
- A note on utility-based pricing
- Indifference pricing for CRRA utilities
- Convex pricing by a generalized entropy penalty
- The supermartingale property of the optimal wealth process for general semimartingales
- On convergence to the exponential utility problem
- Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- Utility maximization in incomplete markets
- Dynamic exponential utility indifference valuation
- The minimal entropy measure and an Esscher transform in an incomplete market model
- Simple bounds for utility maximization with small transaction costs
- A note on utility indifference pricing
- Robust exponential hedging in a Brownian setting
- Stability of utility maximization in nonequivalent markets
- The exp-UIV for markets with partial information and complete information
- Stability of the exponential utility maximization problem with respect to preferences
- Indifference price with general semimartingales
- Utility-based valuation and hedging of basis risk with partial information
- Robust exponential hedging and indifference valuation
- Optimal exponential utility in a jump bond market
- Conditional certainty equivalent
- Forward indifference valuation of American options
- scientific article; zbMATH DE number 2127977 (Why is no real title available?)
- The minimal -entropy martingale measure
- Utility maximization under \(g^\ast\)-expectation
- Option pricing and hedging with small transaction costs
- Long horizons, high risk aversion, and endogenous spreads
- Entropy maximization in finance
- Wavelet Galerkin pricing of American options on Lévy driven assets
- scientific article; zbMATH DE number 5014850 (Why is no real title available?)
- Utility maximization with proportional transaction costs under model uncertainty
- Principle of equivalent utility and universal variable life insurance pricing
- Exponential utility indifference valuation in two Brownian settings with stochastic correlation
- The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
- Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
- Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
- On agent's agreement and partial-equilibrium pricing in incomplete markets
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- Pricing jump risk with utility indifference
- A Note on Credit Insurance
- The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps
- Market Consistent Pricing of Insurance Products
- Utility-based hedging and pricing with a nontraded asset for jump processes
- Optimal martingale measures for defaultable assets
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- On the Existence of Minimax Martingale Measures
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Nash equilibria for game contingent claims with utility-based hedging
- Exponential models by Orlicz spaces and applications
- Three essays on exponential hedging with variable exit times
- Approximate indifference pricing in exponential Lévy models
- Pricing European options with stochastic volatility under the minimal entropy martingale measure
- 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
- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
- Continuous equilibrium in affine and information-based capital asset pricing models
- Convex duality in optimal investment under illiquidity
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
- Forward exponential indifference valuation in an incomplete binomial model
- Non-parametric pricing and hedging of exotic derivatives
- Option pricing under autoregressive random variance models
- Endogenous noise trackers in a Radner equilibrium
- Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
- A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
- Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process
- On the minimal entropy martingale measure for Lévy processes
- Explicit representations for utility indifference prices
- An equilibrium model for spot and forward prices of commodities
- Robust portfolio choice and indifference valuation
- Pricing for large positions in contingent claims
- 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
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