Utility-based valuation and hedging of basis risk with partial information
We analyse the valuation and hedging of a claim on a non-traded asset using a correlated traded asset under a partial information scenario, when the asset drifts are unknown constants. Using a Kalman filter and a Gaussian prior distribution for the unknown parameters, a full information model with r...
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2010
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Utility-based valuation and hedging of basis risk with partial information
Published 2011
Journal article
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Utility-based valuation and hedging of basis risk with partial information
Published 2010
Journal article