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On Exponential Hedging and Related Quadratic Backward Stochastic Differential Equations

https://doi.org/10.1007/s00245-006-0855-4
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/pl00000040openalex-snapshot
A solution approach to valuation with unhedgeable risks
inferredcites →https://doi.org/10.1007/s007800200090openalex-snapshot
A semimartingale BSDE related to the minimal entropy martingale measure
inferredcites →https://doi.org/10.1017/9781316831823.004openalex-snapshot
Statistics of Random Processes
inferredcites →https://doi.org/10.1080/17442509108833731openalex-snapshot
An extension of clark' formula
inferredcites →https://doi.org/10.1111/1467-9965.00079openalex-snapshot
The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
inferredcites →https://doi.org/10.1111/1467-9965.00093openalex-snapshot
Pricing Via Utility Maximization and Entropy
inferredcites →https://doi.org/10.1111/1467-9965.t01-1-02002openalex-snapshot
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper
inferredcites →https://doi.org/10.1137/1020004openalex-snapshot
An Introductory Approach to Duality in Optimal Stochastic Control
inferredcites →https://doi.org/10.1214/aoap/1177005576openalex-snapshot
Convex Duality in Constrained Portfolio Optimization
inferredcites →https://doi.org/10.1214/aop/1019160253openalex-snapshot
Backward stochastic differential equations and partial differential equations with quadratic growth
inferredcites →https://doi.org/10.2307/2988309openalex-snapshot
Stochastic Calculus and Applications.

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2233823openalex-extracted
inferred← citeshttps://doi.org/10.1007/978-3-030-22285-7_1openalex-snapshot
On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples
inferred← citeshttps://doi.org/10.1007/978-3-319-13984-5_9openalex-snapshot
Solution of the HJB Equations Involved in Utility-Based Pricing
inferred← citeshttps://doi.org/10.1007/978-3-642-27461-9openalex-snapshot
Séminaire de Probabilités XLIV
inferred← citeshttps://doi.org/10.1007/978-3-642-27461-9_5openalex-snapshot
Quadratic Semimartingale BSDEs Under an Exponential Moments Condition
inferred← citeshttps://doi.org/10.1007/s00780-009-0114-zopenalex-snapshot
Exponential utility maximization under partial information
inferred← citeshttps://doi.org/10.1016/j.crma.2009.06.006openalex-snapshot
A Note on FBSDE characterization of mean exit times
inferred← citeshttps://doi.org/10.1016/j.spa.2012.03.007openalex-snapshot
BSDEs in utility maximization with BMO market price of risk
inferred← citeshttps://doi.org/10.1016/j.spa.2014.01.004openalex-snapshot
Forward–backward systems for expected utility maximization
inferred← citeshttps://doi.org/10.1080/07362994.2016.1165121openalex-snapshot
Utility maximization under g* -expectation
inferred← citeshttps://doi.org/10.1137/130913183openalex-snapshot
A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
inferred← citeshttps://doi.org/10.1142/s0219024910006121openalex-snapshot
ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION
inferred← citeshttps://doi.org/10.1214/20-aap1569openalex-snapshot
Utility maximization via decoupling fields
inferred← citeshttps://doi.org/10.1287/moor.2023.0376openalex-snapshot
Utility Maximization Under Endogenous Pricing
inferred← citeshttps://doi.org/10.14495/jsiaml.1.64openalex-snapshot
Robust exponential hedging in a Brownian setting
inferred← citeshttps://doi.org/10.18452/17115openalex-snapshot
Theory and applications of decoupling fields for forward-backward stochastic differential equations
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