Utility indifference hedging with exponential additive processes

Asia-Pacific Financial Markets

Volumn 17, Issue 2, 2010, Pages 151-169

  Rheinländer, Thorsten ^a   Steiger, Gallus ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b ETH ZURICH   (Switzerland)

Author keywords

Exponential additive processes; Minimal entropy martingale measure; Utility indifference pricing and hedging

Indexed keywords

EID: 77955096591     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10690-009-9106-4     Document Type: Article

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