Utility-based valuation and hedging of basis risk with partial information

DOI10.1080/13504861003650883MaRDI QIDQ3063879zbMATH OpenOpenAlexFDO

Authors Michael Monoyios

Publication date 15 December 2010

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://ora.ox.ac.uk/objects/uuid:14c5c4e6-3310-4f61-8631-c1b07607a3ec

zbMATH Keywords

basis riskfilteringindifference valuationpartial information

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• Optimal hedging and parameter uncertainty
• Mean-Variance Hedging Under Partial Information
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• Option valuation and hedging with basis risk
• Utility indifference hedging with exponential additive processes

Cites work

• An example of indifference prices under exponential preferences
• Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
• Asymptotic utility-based pricing and hedging for exponential utility
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Dynamic exponential utility indifference valuation
• Exponential Hedging and Entropic Penalties
• Hedging with residual risk: a BSDE approach
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES
• Mean‐Variance Portfolio Selection under Partial Information
• Optimal Cross Hedging of Insurance Derivatives
• Optimal hedging and parameter uncertainty
• Optimal investment under partial information
• Optimal trading strategy for an investor: the case of partial information
• Portfolio selection under incomplete information
• Pricing and hedging in the presence of extraneous risks
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
• Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
• The relaxed investor and parameter uncertainty
• Utility–indifference hedging and valuation via reaction–diffusion systems
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

Cited in

(10)

• The price of risk with incomplete knowledge on the utility function
• Optimal investment with inside information and parameter uncertainty
• A note on utility based pricing and asymptotic risk diversification
• The non-locality of Markov chain approximations to two-dimensional diffusions
• Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk
• Estimating residual hedging risk with least-squares Monte Carlo
• Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
• Performance of utility-based strategies for hedging basis risk
• Executive stock option exercise with full and partial information on a drift change point
• Optimal hedging and parameter uncertainty

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