Pricing and hedging in the presence of extraneous risks

DOI10.1016/J.SPA.2006.10.004MaRDI QIDQ885263zbMATHOpenAlexFDO

Authors Pierre Collin Dufresne, J. Hugonnier

Publication date 8 June 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://infoscience.epfl.ch/record/141864/files/extraneous.pdf

zbMATH Keywords

incomplete marketsevent riskfair pricenonmarket risksutility based pricing

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
• scientific article; zbMATH DE number 927094 (Why is no real title available?)
• Additional logarithmic utility of an insider
• Arbitrage Theory in Continuous Time
• Changes of filtrations and of probability measures
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Hedging of contingent claims and maximum price
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• On the pricing of contingent claims under constraints
• Optimal investment with random endowments in incomplete markets.
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Pricing via utility maximization and entropy.
• The Banach space of workable contingent claims in arbitrage theory
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The writing price of a European contingent claim under proportional transaction costs
• Utility maximization with partial information

Cited in

(12)

• Optimal investment with counterparty risk: a default-density model approach
• Event risk, contingent claims and the temporal resolution of uncertainty
• Pooling, pricing and trading of risks
• Utility-based valuation and hedging of basis risk with partial information
• Convergence of utility indifference prices to the superreplication price
• Indifference pricing for CRRA utilities
• Optimal investment decisions when time-horizon is uncertain
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• Risk measure pricing and hedging in incomplete markets
• Pricing and trading credit default swaps in a hazard process model
• ONE FOR ALL The Potential Approach to Pricing and Hedging
• On agent's agreement and partial-equilibrium pricing in incomplete markets

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