{
  "id": "math/0404447",
  "version": "v1",
  "published": "2004-04-24T19:01:28.000Z",
  "updated": "2004-04-24T19:01:28.000Z",
  "title": "Indifference pricing and hedging in stochastic volatility models",
  "authors": [
    "M. R. Grasselli",
    "T. R. Hurd"
  ],
  "categories": [
    "math.PR",
    "math.OC",
    "q-fin.PR"
  ],
  "abstract": "We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of \"reciprocal affine\" models for which the indifference price and optimal hedge portfolio for pure volatility claims are efficiently computable. We obtain a general formula for the market price of volatility risk in these models and calculate it explicitly for the case of an exponential utility.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2004-04-24T19:01:28.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "49L20",
      "91B16",
      "91B28"
    ],
    "keywords": [
      "stochastic volatility models",
      "indifference pricing",
      "stochastic volatility markets",
      "optimal hedge portfolio",
      "pure volatility claims"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2004math......4447G"
    }
  }
}