Efficient approximations for utility-based pricing

DOI10.1007/S11009-024-10076-ZMaRDI QIDQ6549635zbMATH OpenFDO

Authors Laurence Carassus, Massinissa Ferhoune

Publication date 4 June 2024

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11009-024-10076-Z

zbMATH Keywords

incomplete modelMonte Carlo methodutility-based hedgingutility-based pricing

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Utility based pricing of contingent claims in incomplete markets
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• The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices *

Cites work

• A solution approach to valuation with unhedgeable risks
• Explicit solutions of some utility maximization problems in incomplete markets
• scientific article; zbMATH DE number 3160419 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Mean-variance hedging for general claims
• Mean-variance hedging in continuous time
• On the Lambert \(w\) function
• On the Laplace transform of the lognormal distribution
• Optimal hedging and parameter uncertainty
• Optimal hedging with basis risk
• Performance of utility-based strategies for hedging basis risk
• Pricing via utility maximization and entropy.
• Real options with constant relative risk aversion
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

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