Robust exponential hedging and indifference valuation
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Cites work
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
- A general version of the fundamental theorem of asset pricing
- A stochastic control approach to a robust utility maximization problem
- A super-martingale property of the optimal portfolio process
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Dynamic exponential utility indifference valuation
- Exponential Hedging and Entropic Penalties
- I-divergence geometry of probability distributions and minimization problems
- Minimax Theorems
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
- Minimax monotonicity
- On exponential hedging and related quadratic backward stochastic differential equations
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Robust Preferences and Robust Portfolio Choice
- Robust utility maximization for complete and incomplete markets
Cited in
(15)- Robust exponential hedging in a Brownian setting
- Dynamic exponential utility indifference valuation
- Three essays on exponential hedging with variable exit times
- A note on utility maximization with unbounded random endowment
- Robust pricing-hedging dualities in continuous time
- Characterization of the value process in robust efficient hedging
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
- Indifference pricing and hedging in a multiple-priors model with trading constraints
- Exponential utility maximization under model uncertainty for unbounded endowments
- Utility indifference hedging with exponential additive processes
- Forward exponential performances: pricing and optimal risk sharing
- Pricing and hedging in incomplete markets with model uncertainty
- Exponential Hedging and Entropic Penalties
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
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