PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS

DOI10.1111/j.1467-9965.2010.00398.xzbMath1217.91178arXiv0712.3746OpenAlexW2129704553MaRDI QIDQ3553257

Peter Imkeller, Stefan Ankirchner, Gonçalo dos Reis

Publication date: 22 April 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3746

zbMATH Keywords

differentiabilityhedgingquadratic growthBSDEfinancial derivativesutility-based pricingforward-backward stochastic differential equation (FBSDE)pricing by marginal utility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

• Real options with constant relative risk aversion
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• An example of indifference prices under exponential preferences
• Classical and variational differentiability of BSDEs with quadratic growth
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• Utility maximization in incomplete markets
• Pricing Via Utility Maximization and Entropy
• Optimal Cross Hedging of Insurance Derivatives
• Backward Stochastic Differential Equations in Finance
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Pricing and Hedging Spread Options

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