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Displaying similar documents to “Finite utility on financial markets with asymmetric information and structure properties of the price dynamics”

Entropic Conditions and Hedging

Samuel Njoh (2007)

ESAIM: Probability and Statistics

Similarity:

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 ( electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...