منابع مشابه
Utility indifference pricing with market incompletness
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to non-linear pricing rules for contingent claims. Convex duality is first used to derive probabilistic representations for exponential utility-based prices, in a general setting with locally bounded semi-martingale price processes. The indifference price for a finite number of claims gives...
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This paper is concerned with option pricing in an incomplete market driven by a jumpdiffusion process. We price options according to the principle of utility indifference. Our main contribution is an efficient multi-nomial tree method for computing the utility indifference prices for both European and American options. Moreover, we conduct an extensive numerical study to examine how the indiffe...
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We study the problem of portfolio optimization in an incomplete market using derivatives as well as basic assets such as stocks. In such markets, an investor may want to use derivatives, as a proxy for trading volatility, for instance, but they should be traded statically, or relatively infrequently, compared with assumed continuous trading of stocks, because of the much larger transaction cost...
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We are indifferent between two cups of coffee when one differs from the other in having only one more grain of sugar. But such an indifference is not transitive, because eventually, after many enough grains of sugar are added, we will become able to tell one cup is sweeter than the other. When consumers feature intransitive indifference, putting a bad deal alongside a good deal can boost the sa...
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We consider the stable marriage problem where participants are permitted to express indifference in their preference lists (i.e., each list can be partially ordered). We prove that, in an instance where indifference takes the form of ties, the set of strongly stable matchings forms a distributive lattice. However, we show that this lattice structure may be absent if indifference is in the form ...
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ژورنال
عنوان ژورنال: Ethnographic Praxis in Industry Conference Proceedings
سال: 2007
ISSN: 1559-890X,1559-8918
DOI: 10.1111/j.1559-8918.2007.tb00080.x