Workshop
On Constructive Solutions for Hedging and Valuation by Utility Indifference
- Dirk Becherer (Imperial College, London, United Kingdom)
Abstract
This talk is concerned with an hedging and valuation approach for incomplete markets that is based on utility indifference arguments. It is known that the solution can be described on a general but abstract level by duality methods. We discuss alternative constructive solutions, examples, and properties of the indifference approach under additional structural assumptions on the model, which do not fall into the well-studied class of Brownian models with correlation.