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We discuss utility based pricing and hedging of jump diffusion processes withemphasis on the practical applicability of the framework. We point out twodifficulties that seem to limit this applicability, namely drift dependence andessential risk aversion independence. We suggest to solve these by are-interpretation of the framework. This leads to the notion of an implieddrift. We also present a heuristic derivation of the marginal indifferenceprice and the marginal optimal hedge that might be useful in numericalcomputations.

Utility based pricing and hedging of jump diffusion processes with a view to applications