Robust exponential hedging and indifference valuation
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Publication:3067765
DOI10.1142/S0219024910006121zbMATH Open1207.91066MaRDI QIDQ3067765FDOQ3067765
Authors: Keita Owari 
Publication date: 13 January 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Recommendations
- Exponential Hedging and Entropic Penalties
- Robust exponential hedging in a Brownian setting
- Exponential utility maximization under model uncertainty for unbounded endowments
- Asymptotic utility-based pricing and hedging for exponential utility
- Utility indifference hedging with exponential additive processes
Derivative securities (option pricing, hedging, etc.) (91G20) Decision theory (91B06) Portfolio theory (91G10) Utility theory (91B16) Stochastic models in economics (91B70)
Cites Work
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- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
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- Minimax Theorems
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Exponential Hedging and Entropic Penalties
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Minimax monotonicity
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
- On exponential hedging and related quadratic backward stochastic differential equations
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
- A super-martingale property of the optimal portfolio process
Cited In (15)
- Exponential Hedging and Entropic Penalties
- Indifference pricing and hedging in a multiple-priors model with trading constraints
- Pricing and hedging in incomplete markets with model uncertainty
- Three essays on exponential hedging with variable exit times
- Characterization of the value process in robust efficient hedging
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Robust exponential hedging in a Brownian setting
- Dynamic exponential utility indifference valuation
- A note on utility maximization with unbounded random endowment
- Robust pricing-hedging dualities in continuous time
- Forward exponential performances: pricing and optimal risk sharing
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Utility indifference hedging with exponential additive processes
- AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
- Exponential utility maximization under model uncertainty for unbounded endowments
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