Henderson, V. and D.G. Hobson; Substitute hedging, Risk Magazine, 15, 71-75, 2002. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
A Survey of Mathematical Finance - Hobson Self-citation (Hobson) (Correct)
No context found.
Henderson, V. and D.G. Hobson; Substitute hedging, Risk Magazine, 15, 71-75, 2002.
Real Options, Non-traded Assets and Utility Indifference Prices - Hobson (2003) Self-citation (Hobson) (Correct)
No context found.
HENDERSON, V. and HOBSON D.G. : Substitute Hedging. Risk, 71-75, May 2002.
Real Options, Non-traded Assets and Utility Indifference Prices - Hobson (2003) Self-citation (Hobson) (Correct)
....the assumptions of the model do not allow the agent to follow the replicating strategy. In these cases any non attainable contingent claim carries risk, and any pricing rule makes implicit or explicit assumptions about utilities and preferences. The typical problem we have in mind (see [13] 2] [10], 11] is as follows. There are two assets, one of which is traded, but the second is not. Although the price processes for the assets may be driven by correlated Brownian motions the coecients of the dynamics for the traded asset do not depend on the untraded asset. An agent is due to receive a ....
....It follows that Assumptions 4. 2(i) and (ii) are satis ed and (w) 1= E [Z T (ln w ln Z T ) ln w T=2) We nd (x) exp( x T=2) Suppose the claim takes the form g = g(Y T ) Then the utility indi erence bid price for k units of the claim is given in Henderson and Hobson [10, 11] as (11) p b (k) 1 ln exp k (1 )g(Y T ) For g a non negative claim, and k 0, it follows form Jensen s inequality that p (k) k E [g(Y T ) Further, on di erentiation we nd k#0 E [g(Y T ) Hence e rT E [g(Y T ) which is independent of the risk ....
HENDERSON, V. and HOBSON D.G. : Substitute Hedging. Risk, 71-75, May 2002.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC