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Indifference Pricing and Hedging for Volatility Derivatives
16 references·2 citing·41 second hop
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2005Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets418 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets363 cited
  • 1999A Parametric Nonlinear Model of Term Structure Dynamics335 cited
  • 2004An example of indifference prices under exponential preferences266 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited
  • 2005Pricing options on realized variance132 cited
  • 2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper123 cited
  • 2005Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes97 cited
  • 2005Equivalent and absolutely continuous measure changes for jump-diffusion processes95 cited
  • 2004

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Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
85 cited
  • 2004On the martingale property of stochastic exponentials61 cited
  • Cited by

    • 2006Characterisation of optimal dual measures via distortion26 cited
    • 2010Minimal Martingale Measure26 cited