Indifference Pricing and Hedging for Volatility Derivatives

DOI10.1080/13527260600963851zbMATH Open1213.91152OpenAlexW1993478052MaRDI QIDQ5459528FDOQ5459528

Publication date: 29 April 2008

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

Full work available at URL: https://doi.org/10.1080/13527260600963851

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incomplete markets exponential utility certainty equivalent Heston model variance swap volatility risk volatility derivative

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

A closed-form solution for options with stochastic volatility with applications to bond and currency options
On the martingale property of stochastic exponentials
VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
Exponential Hedging and Entropic Penalties
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
Utility maximization in incomplete markets with random endowment
Pricing options on realized variance
Equivalent and absolutely continuous measure changes for jump-diffusion processes
An example of indifference prices under exponential preferences
Utility–indifference hedging and valuation via reaction–diffusion systems
Utility based optimal hedging in incomplete markets.
Characterisation of optimal dual measures via distortion

Cited In (30)

Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
Large time asymptotic problems for optimal stochastic control with superlinear cost
Optimal investment with derivatives and pricing in an incomplete market
On the parabolic equation for portfolio problems
UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
Explicit representations for utility indifference prices
Bond indifference prices
Characterisation of optimal dual measures via distortion
Title not available (Why is that?)
Forward indifference valuation of American options
Pricing index options by static hedging under finite liquidity
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
From Markovian to partially observable models
A note on utility indifference pricing
Indifference prices and implied volatilities
Pricing jump risk with utility indifference
Brief synopsis of the scientific career of T. R. Hurd
On the pricing and hedging of volatility derivatives
Risk-based indifference pricing under a stochastic volatility model
Hedging with small uncertainty aversion
Effect of volatility clustering on indifference pricing of options by convex risk measures
Hedging (co)variance risk with variance swaps
Title not available (Why is that?)
Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
Neutral and indifference pricing with stochastic correlation and volatility
Exponential utility indifference valuation in two Brownian settings with stochastic correlation
Fully-dynamic risk-indifference pricing and no-good-deal bounds
Title not available (Why is that?)
Utility indifference pricing and hedging to stochastic volatility model

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