Hedging Constraints

Thorsten Rheinländer and Jenny Sexton
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Thorsten Rheinländer: London School of Economics and Political Science, UK
Jenny Sexton: University of Manchester, UK

Chapter 8 in Hedging Derivatives, 2011, pp 161-193 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Framework and preliminariesDynamic utility indifference pricingMartingale optimality principleUtility indifference hedging and pricing using BSDEsBackward stochastic differential equationsMaximising utility from terminal wealth under trading constraintsExamples in Brownian marketsComplete marketsBasis riskConnection to the minimal entropy measure in the unconstrained caseNotes and further reading

Keywords: Hedging; Financial Derivatives; Martingale Measures; Incomplete Markets; Stochastic Volatility; Lévy Processes (search for similar items in EconPapers)
Date: 2011
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