效用无差异价格的显式表示

Q3 Mathematics Applied Mathematical Finance Pub Date : 2020-12-18 DOI:10.2139/ssrn.3751344
M. Hess
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引用次数: 0

摘要

摘要本文应用随机极大值原理推导了指数效用无差异价格的表示。我们还得到了相关的最优投资组合过程和效用无差异对冲策略。为了说明我们的理论结果,我们给出了几个具体的例子,并研究了消失和无限风险厌恶的效用无差异价格的极限行为。我们进一步研究了如果投资者对潜在股票价格过程的未来行为有一些额外的信息可用,那么最优交易策略和效用无差异价格是如何变化的。在这方面,我们提出了一种定制的放大过滤方法,并推导出在这种扩展设置下的效用无差异价格公式。最后,我们在我们的效用无差别定价框架中给出了信息溢价的表示。
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Explicit Representations for Utility Indifference Prices
ABSTRACT In this paper, we apply stochastic maximum principles to derive representations for exponential utility indifference prices. We also obtain the related optimal portfolio processes and utility indifference hedging strategies. To illustrate our theoretical results, we present several concrete examples and study the limit behaviour of utility indifference prices for vanishing and infinite risk aversion. We further investigate how the optimal trading strategies and utility indifference prices alter if one assumes that an investor has some additional information on the future behaviour of the underlying stock price process available. In this regard, we propose a customized enlarged filtration approach and deduce a formula for the utility indifference price in this extended setup. We finally provide a representation for the information premium in our utility indifference pricing framework.
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来源期刊
Applied Mathematical Finance
Applied Mathematical Finance Economics, Econometrics and Finance-Finance
CiteScore
2.30
自引率
0.00%
发文量
6
期刊介绍: The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.
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