Indifference Pricing and Hedging for Volatility Derivatives

Utility based indifference pricing and hedging are now considered to be an economically natural method for valuing contingent claims in incomplete markets. However, acceptance of these concepts by the wide financial community has been hampered by the computational and conceptual difficulty of the ap...

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Veröffentlicht in:	Applied mathematical finance. 2007-09, Vol.14 (4), p.303-317
Hauptverfasser:	Grasselli, M. R., Hurd, T. R.
Format:	Artikel
Sprache:	eng
Schlagworte:	certainty equivalent Derivatives exponential utility Hedging Heston model incomplete markets Securities prices Stochastic models Studies variance swap Volatility volatility derivative Volatility risk
Online-Zugang:	Volltext
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