Utility based optimal hedging in incomplete markets

By Mark P. Owen. 2002

54 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/45c33769f5fecf1e7a5f374017d0667c44704fcf

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. David Hobson *
2. Dirk Becherer
3. Vicky Henderson
4. Gordan Zitkovic
5. Mark P. Owen
6. H. M. Soner
7. Yan Dolinsky
8. Gordan vZitkovi'c

In Finance

1. David Hobson *
2. Dirk Becherer
3. Gordan Zitkovic
4. Vicky Henderson
5. Mark P. Owen
6. Michael Monoyios
7. Martin Schweizer
8. H. M. Soner

In Management Science and Operations Research

1. Gordan Zitkovic
2. Mark P. Owen
3. Dirk Becherer
4. Vicky Henderson
5. David Hobson *
6. Martin Schweizer
7. Marie-Amélie Morlais
8. Gordan vZitkovi'c

Citations in the corpus

• Utility–indifference hedging and valuation via reaction–diffusion systems (2004, background): “The indifference problem and also the underlying utility-optimization problem are well understood and characterized on a general, but abstract, level by martingale duality results (cf. Cvitanić et al. 2001; Delbaen et al. 2002; Frittelli 2000; Owen 2002) and by backward stochastic differential equat”
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (2007, methodology): “tween L∞ and finitely additive signed measures to treat the case of a bounded random endowment. The case of a bounded random endowment with a utility function supporting negative wealth was treated in [Owe02]. Foranexponential utility function[DGR+02]solve thecase ofhedgingashortposition in a conting”
• Utility indifference pricing : an overview (2009, background): “Optimising over wealths on the one hand, and Lagrange multipliers and state-price densities on the other we have sup XT E[U(XT + kCT )] ≤ inf µ inf ζT { µx+ µkE[ζTCT ] + E[Ũ(µζT )] } , (20) and provided certain regularity conditions are met, see for example Owen [73], there is equality in this expr”