Indifference Pricing and Hedging for Volatility Derivatives
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An example of indifference prices under exponential preferences
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- Characterisation of optimal dual measures via distortion
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Exponential Hedging and Entropic Penalties
- On the martingale property of stochastic exponentials
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Pricing options on realized variance
- Utility based optimal hedging in incomplete markets.
- Utility maximization in incomplete markets with random endowment
- Utility–indifference hedging and valuation via reaction–diffusion systems
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
Cited in
(30)- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
- Neutral and indifference pricing with stochastic correlation and volatility
- Optimal investment with derivatives and pricing in an incomplete market
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- Risk-based indifference pricing under a stochastic volatility model
- A note on utility indifference pricing
- Hedging (co)variance risk with variance swaps
- Forward indifference valuation of American options
- scientific article; zbMATH DE number 2133121 (Why is no real title available?)
- Fully-dynamic risk-indifference pricing and no-good-deal bounds
- Utility indifference pricing and hedging to stochastic volatility model
- Exponential utility indifference valuation in two Brownian settings with stochastic correlation
- UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
- From Markovian to partially observable models
- Pricing jump risk with utility indifference
- Large time asymptotic problems for optimal stochastic control with superlinear cost
- Indifference prices and implied volatilities
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- On the pricing and hedging of volatility derivatives
- Effect of volatility clustering on indifference pricing of options by convex risk measures
- Pricing index options by static hedging under finite liquidity
- scientific article; zbMATH DE number 1867095 (Why is no real title available?)
- scientific article; zbMATH DE number 6305801 (Why is no real title available?)
- On the parabolic equation for portfolio problems
- Bond indifference prices
- Hedging with small uncertainty aversion
- Explicit representations for utility indifference prices
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
- Brief synopsis of the scientific career of T. R. Hurd
- Characterisation of optimal dual measures via distortion
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