Asymptotic analysis of utility-based hedging strategies for small number of contingent claims

Stochastic Processes and their Applications

Volumn 117, Issue 11, 2007, Pages 1606-1620

  Kramkov, D ^a   Sirbu M ^b  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Contingent claim; Incomplete markets; Mean variance hedging; Num raire; Risk tolerance wealth process; Utility based hedging

Indexed keywords

APPROXIMATION THEORY; FUNCTION EVALUATION; PROBABILITY; STRATEGIC PLANNING;

CONTINGENT CLAIM; RISK-TOLERANCE WEALTH PROCESS; UTILITY-BASED HEDGING;

ASYMPTOTIC ANALYSIS;

EID: 34548685604     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.04.014     Document Type: Article

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