Pricing and hedging in the presence of extraneous risks
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Publication:885263
DOI10.1016/J.SPA.2006.10.004zbMATH Open1124.91044OpenAlexW2122836334MaRDI QIDQ885263FDOQ885263
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
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Production theory, theory of the firm (91B38) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
- Coherent measures of risk
- Arbitrage Theory in Continuous Time
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Additional logarithmic utility of an insider
- Pricing via utility maximization and entropy.
- Hedging of contingent claims and maximum price
- Convex measures of risk and trading constraints
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Utility maximization with partial information
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- Title not available (Why is that?)
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Title not available (Why is that?)
- Optimal investment with random endowments in incomplete markets.
- Changes of filtrations and of probability measures
- Title not available (Why is that?)
- On the pricing of contingent claims under constraints
- The Banach space of workable contingent claims in arbitrage theory
- The writing price of a European contingent claim under proportional transaction costs
Cited In (12)
- Optimal investment decisions when time-horizon is uncertain
- Pricing and trading credit default swaps in a hazard process model
- Event risk, contingent claims and the temporal resolution of uncertainty
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- On agent's agreement and partial-equilibrium pricing in incomplete markets
- Indifference pricing for CRRA utilities
- Optimal investment with counterparty risk: a default-density model approach
- 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
- ONE FOR ALL The Potential Approach to Pricing and Hedging
- Risk measure pricing and hedging in incomplete markets
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