摘要翻译：
我们讨论了跳跃扩散过程的基于效用的定价和套期保值，重点讨论了该框架的实际适用性。我们指出了限制这种适用性的两个困难，即漂移依赖性和本质风险厌恶独立性。我们建议通过重新解释框架来解决这些问题。这就引出了隐含漂移的概念。我们也给出了边际无差异价格和边际最优套期保值的启发式推导，这可能在数值计算中有用。
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英文标题：
《Utility based pricing and hedging of jump diffusion processes with a
  view to applications》
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作者：
Jochen Zahn
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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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英文摘要：
  We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability of the framework. We point out two difficulties that seem to limit this applicability, namely drift dependence and essential risk aversion independence. We suggest to solve these by a re-interpretation of the framework. This leads to the notion of an implied drift. We also present a heuristic derivation of the marginal indifference price and the marginal optimal hedge that might be useful in numerical computations.
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PDF链接：
https://arxiv.org/pdf/1106.1395