Indifference Pricing and Hedging for Volatility Derivatives
From MaRDI portal
Publication:5459528
DOI10.1080/13527260600963851zbMATH Open1213.91152OpenAlexW1993478052MaRDI QIDQ5459528FDOQ5459528
Authors: M. R. Grasselli, T. R. Hurd 
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
Recommendations
- Utility indifference pricing and hedging to stochastic volatility model
- On the pricing and hedging of volatility derivatives
- Indifference prices and implied volatilities
- Risk-based indifference pricing under a stochastic volatility model
- Utility–indifference hedging and valuation via reaction–diffusion systems
incomplete marketsexponential utilitycertainty equivalentHeston modelvariance swapvolatility riskvolatility derivative
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 (24)
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- INDIFFERENCE PRICES AND IMPLIED VOLATILITIES
- Large time asymptotic problems for optimal stochastic control with superlinear cost
- Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds
- 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
- Bond indifference prices
- Characterisation of optimal dual measures via distortion
- Title not available (Why is that?)
- Forward indifference valuation of American options
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- From Markovian to partially observable models
- A note on utility indifference pricing
- Pricing jump risk with utility indifference
- Brief synopsis of the scientific career of T. R. Hurd
- On the pricing and hedging of volatility derivatives
- Hedging (co)variance risk with variance swaps
- Title not available (Why is that?)
- Exponential utility indifference valuation in two Brownian settings with stochastic correlation
- Title not available (Why is that?)
- Utility indifference pricing and hedging to stochastic volatility model
- Explicit Representations for Utility Indifference Prices
This page was built for publication: Indifference Pricing and Hedging for Volatility Derivatives
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5459528)
