Indifference Pricing and Hedging for Volatility Derivatives
type: Item
instance of: scholarly article
title: Indifference Pricing and Hedging for Volatility Derivatives
zbMATH Open document ID: 1213.91152
DOI: 10.1080/13527260600963851
author: M. R. Grasselli
author: T. R. Hurd
published in: Applied Mathematical Finance
publication date: 2008-04-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B25
zbMATH DE Number: 5269304
zbMATH Keywords: volatility risk
zbMATH Keywords: exponential utility
zbMATH Keywords: Heston model
zbMATH Keywords: variance swap
zbMATH Keywords: incomplete markets
zbMATH Keywords: certainty equivalent
zbMATH Keywords: volatility derivative
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1080/13527260600963851
OpenAlex ID: W1993478052
cites work: Utility–indifference hedging and valuation via reaction–diffusion systems
cites work: Pricing options on realized variance
cites work: Equivalent and absolutely continuous measure changes for jump-diffusion processes
cites work: Utility maximization in incomplete markets with random endowment
cites work: Exponential Hedging and Entropic Penalties
cites work: VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
cites work: Characterisation of optimal dual measures via distortion
cites work: An example of indifference prices under exponential preferences
cites work: Utility based optimal hedging in incomplete markets.
cites work: Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
cites work: On the martingale property of stochastic exponentials
description: scientific article; zbMATH DE number 5269304