# Entropic Conditions and Hedging

ESAIM: Probability and Statistics (2007)

- Volume: 11, page 197-216
- ISSN: 1292-8100

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topNjoh, Samuel. "Entropic Conditions and Hedging." ESAIM: Probability and Statistics 11 (2007): 197-216. <http://eudml.org/doc/250121>.

@article{Njoh2007,

abstract = {
In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying (e.g. electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential utilities when the risk premium is bounded. Our result is based upon backward stochastic differential equation (BSDE) and a good choice of admissible strategies which allows us to solve our hedging problem.
},

author = {Njoh, Samuel},

journal = {ESAIM: Probability and Statistics},

keywords = {Stochastic optimization; martingale representation theorem.; stochastic optimization; martingale representation theorem},

language = {eng},

month = {6},

pages = {197-216},

publisher = {EDP Sciences},

title = {Entropic Conditions and Hedging},

url = {http://eudml.org/doc/250121},

volume = {11},

year = {2007},

}

TY - JOUR

AU - Njoh, Samuel

TI - Entropic Conditions and Hedging

JO - ESAIM: Probability and Statistics

DA - 2007/6//

PB - EDP Sciences

VL - 11

SP - 197

EP - 216

AB -
In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying (e.g. electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential utilities when the risk premium is bounded. Our result is based upon backward stochastic differential equation (BSDE) and a good choice of admissible strategies which allows us to solve our hedging problem.

LA - eng

KW - Stochastic optimization; martingale representation theorem.; stochastic optimization; martingale representation theorem

UR - http://eudml.org/doc/250121

ER -

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