✦ LIBER ✦

Asymptotic power utility-based pricing and hedging

✍ Scribed by Jan Kallsen, Johannes Muhle-Karbe…

Book ID: 120881111
Publisher: Springer-Verlag
Year: 2013
Tongue: English
Weight: 551 KB
Volume: 8
Category: Article
ISSN: 1862-9679
DOI: 10.1007/s11579-013-0095-8

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Pricing and hedging power options

✍ Ronald C. Heynen; Harry M. Kat 📂 Article 📅 1996 🏛 Springer 🌐 English ⚖ 463 KB

Utility-based hedging and pricing with a

Utility-based hedging and pricing with a nontraded asset for jump processes

✍ Claudia Ceci; Anna Gerardi 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 454 KB

A note on utility based pricing and asym

A note on utility based pricing and asymptotic risk diversification

✍ Bruno Bouchard, Romuald Elie, Ludovic Moreau 📂 Article 📅 2011 🏛 Springer-Verlag 🌐 English ⚖ 253 KB

PRICING AND HEDGING OF DERIVATIVES BASED

PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS

✍ Stefan Ankirchner; Peter Imkeller; Gonçalo Dos Reis 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 237 KB

Cross- and delta-hedges: Regression- ver

Cross- and delta-hedges: Regression- versus price-based hedge ratios

✍ Piet Sercu; Xueping Wu 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 165 KB

Approximations and asymptotics of upper

Approximations and asymptotics of upper hedging prices in multinomial models

✍ Ryuichi Nakajima; Masayuki Kumon; Akimichi Takemura; Kei Takeuchi 📂 Article 📅 2011 🏛 Japan Society for Industrial and Applied Mathemati 🌐 English ⚖ 614 KB