Abstract

Kramkov & Sirbu (2006, 2007) have shown that first-order approximations of utility-based prices and hedging strategies can be computed by solving a mean-variance hedging problem under a specific equivalent martingale measure and relative to a suitable numeraire. To facilitate computations, we propose an alternative representation in terms of the original numeraire.

MONDAY, December 1, 2008
Time: 5:00 P.M.
Location: WeH 6423