Exponential Hedging and Entropic Penalties
Work
Year: 2002
Type: article
Abstract: We solve the problem of hedging a contingent claim B by maximizing the expected exponential utility of terminal net wealth for a locally bounded semimartingale X . We prove a duality relation between ... more
Source: Mathematical Finance
Authors Freddy Delbaen, Peter Grandits, Thorsten Rheinländer, Dominick J. Samperi, Martin Schweizer +1 more
Institutions ETH Zurich, TU Wien, Synergy Pharmaceuticals (United States), Ludwig-Maximilians-Universität München, Université de franche-comté +1 more
Cites: 33
Cited by: 399
Related to: 10
FWCI: 22.88
Citation percentile (by year/subfield): 97.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green