Asymptotic utility-based pricing and hedging for exponential utility

Statistics and Risk Modeling

Volumn 28, Issue 1, 2011, Pages 17-36

  Kallsen, Jan ^a   Rheinländer, Thorsten ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Incomplete markets; Minimal entropy martingale measure; Quadratic hedging; Utility indifference pricing

Indexed keywords

EID: 84892490904     PISSN: 21931402     EISSN: 21967040     Source Type: Journal    
DOI: 10.1524/stnd.2011.1027     Document Type: Article

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