Pages that link to "Item:Q2464858"

The following pages link to Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (Q2464858):

Displaying 18 items.

• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility (Q274837) (← links)
• Abstract, classic, and explicit turnpikes (Q471171) (← links)
• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities (Q492168) (← links)
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (Q997416) (← links)
• Sensitivity of optimal consumption streams (Q2000136) (← links)
• A class of stochastic Fredholm-algebraic equations and applications in finance (Q2033771) (← links)
• Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
• Indifference pricing for CRRA utilities (Q2392015) (← links)
• Optimal investment with random endowments and transaction costs: duality theory and shadow prices (Q2422170) (← links)
• Portfolios and risk premia for the long run (Q2428051) (← links)
• A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk (Q2796752) (← links)
• Utility-Based Valuation and Hedging of Basis Risk With Partial Information (Q3063879) (← links)
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
• ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS (Q3576956) (← links)
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
• Approximate indifference pricing in exponential Lévy models (Q4585675) (← links)
• UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS (Q4902548) (← links)
• THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS (Q5283400) (← links)