Hedging and pricing European-type claims on non-traded asset using utility maximization
In our thesis, we consider the problem facing a risk-averse agent who owns a traded asset and a non-traded asset simultaneously. The agent wishes to know how to price and hedge the claims on the non-traded asset. Under the assumption that agents always maximize their expected utility of terminal wea...
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Imperial College London
2009
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.501755 |