Rational hedging and valuation of integrated risks under constant absolute risk aversion

We study a rational valuation and hedging principle for contingent claims which integrate tradable and non-tradable sources of risk. The principle is based on the preferences of a rational investor with constant absolute risk aversion, and uses exponential utility-indifference arguments. Properties...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2003-08, Vol.33 (1), p.1-28
1. Verfasser: Becherer, Dirk
Format: Artikel
Sprache:eng
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