A utility maximization approach to hedging in incomplete markets

DOI10.1007/s001860050100zbMath0952.91027OpenAlexW2084262048MaRDI QIDQ1809501

Jan Kallsen

Publication date: 8 January 2001

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050100

zbMATH Keywords

hedgingincomplete marketsportfolio optimization

Mathematics Subject Classification ID

Related Items (9)

A numerical method for hedging Bermudan options under model uncertainty ⋮ Time-consistent mean-variance portfolio selection in discrete and continuous time ⋮ On utility maximization under convex portfolio constraints ⋮ Option pricing under risk-minimization criterion in an incomplete market with the finite difference method ⋮ Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market ⋮ MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS ⋮ Variance-optimal hedging for processes with stationary independent increments ⋮ MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE ⋮ HEDGING BY SEQUENTIAL REGRESSIONS REVISITED

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