We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability of the framework. We point out two difficulties that seem to limit this applicability, namely drift dependence and essential risk aversion independence. We suggest to solve these by a re-interpretation of the framework. This leads to the notion of an implied drift. We also present a heuristic derivation of the marginal indifference price and the marginal optimal hedge that might be useful in numerical computations.
In this paper, we introduce a class of quite general Lévy processes, with both a diffusion part and ...
This dissertation contains four autonomous academic papers on asset pricing models with jump process...
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
We discuss utility based pricing and hedging of jump diffusion pro-cesses with emphasis on the pract...
Optimal strategies for hedging a claim on a nontraded asset X are analyzed. The claim is valued and ...
© 2015 World Scientific Publishing Company. We consider the problem of hedging a European-type optio...
The seminal paper of Black and Scholes (1973) led to the explosive growth of option pricing and hedg...
A traditional model for financial asset prices is that of a solution of a stochastic differential eq...
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion proce...
This paper analyzes the efficiency of hedging strategies for stock options, in presence of jump clus...
Producción CientíficaThe estimation of the market prices of risk is an open question in the jumpdi ...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion proce...
This paper proposes a Laplace-transform-based approach to price the fixed-strike quantile options as...
A jump diffusion model coupled with a local volatility function has been suggested by Andersen and A...
In this paper, we introduce a class of quite general Lévy processes, with both a diffusion part and ...
This dissertation contains four autonomous academic papers on asset pricing models with jump process...
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
We discuss utility based pricing and hedging of jump diffusion pro-cesses with emphasis on the pract...
Optimal strategies for hedging a claim on a nontraded asset X are analyzed. The claim is valued and ...
© 2015 World Scientific Publishing Company. We consider the problem of hedging a European-type optio...
The seminal paper of Black and Scholes (1973) led to the explosive growth of option pricing and hedg...
A traditional model for financial asset prices is that of a solution of a stochastic differential eq...
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion proce...
This paper analyzes the efficiency of hedging strategies for stock options, in presence of jump clus...
Producción CientíficaThe estimation of the market prices of risk is an open question in the jumpdi ...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion proce...
This paper proposes a Laplace-transform-based approach to price the fixed-strike quantile options as...
A jump diffusion model coupled with a local volatility function has been suggested by Andersen and A...
In this paper, we introduce a class of quite general Lévy processes, with both a diffusion part and ...
This dissertation contains four autonomous academic papers on asset pricing models with jump process...
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...