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Probability and Math Finance Seminar
Johannes Muhle-Karbe, HVB-Institut fur Finanzmathematik, Technische Universitat MunchenOn asymptotic power-utility based pricing and hedging AbstractKramkov & Sirbu (2006, 2007) have shown that first-order approximations of utility-based prices and hedging strategies can be computed by solving a mean-variance hedging problem under a specific equivalent martingale measure and relative to a suitable numeraire. To facilitate computations, we propose an alternative representation in terms of the original numeraire. MONDAY, December 1, 2008 |