Indifference pricing and hedging in stochastic volatility models

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dc.creatorGrasselli, M. R.
dc.creatorHurd, T. R.
dc.date2004-04-24
dc.date.accessioned2026-07-07T12:07:14Z
dc.date.available2026-07-07T12:07:14Z
dc.descriptionWe apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the indifference price and optimal hedge portfolio for pure volatility claims are efficiently computable. We obtain a general formula for the market price of volatility risk in these models and calculate it explicitly for the case of an exponential utility.
dc.identifierhttps://arxiv.org/abs/math/0404447
dc.identifierhttp://arxiv.org/abs/math/0404447
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208899
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectPricing of Securities
dc.subject49L20, 91B16, 91B28
dc.titleIndifference pricing and hedging in stochastic volatility models
dc.typetext

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