摘要翻译：
本文研究的是金融市场上与保险相关的衍生品，这些衍生品是基于不可交易的承销，但与可交易的资产相关。我们计算了基于指数效用的无差异价格，以及相应的衍生套期保值。我们利用这一事实，即它们可以表示为具有二次增长生成元的正倒向随机微分方程(FBSDE)的解。我们导出了这类FBSDE的马尔可夫性质，并推广了关于其前向分量相对于初值的可微性的结果。在这种情况下，最优套期保值可以用价格梯度乘以相关系数来表示。这样，我们得到了完全市场中经典的Delta对冲的推广。
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英文标题：
《Pricing and hedging of derivatives based on non-tradable underlyings》
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作者：
Stefan Ankirchner, Peter Imkeller, Goncalo dos Reis
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We calculate exponential utility-based indifference prices, and corresponding derivative hedges. We use the fact that they can be represented in terms of solutions of forward-backward stochastic differential equations (FBSDE) with quadratic growth generators. We derive the Markov property of such FBSDE and generalize results on the differentiability relative to the initial value of their forward components. In this case the optimal hedge can be represented by the price gradient multiplied with the correlation coefficient. This way we obtain a generalization of the classical 'delta hedge' in complete markets.
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PDF链接：
https://arxiv.org/pdf/0712.3746