Consumption utility-based pricing of the option to invest with partial information

被引：0

作者：

Zhao L. ^{[1
]}

Huang W. ^{[2
]}

Li S. ^{[1
]}

机构：

[1] School of Mathematical Sciences, Zhejiang University, Hangzhou

[2] School of Finance, China Academy of Financial Research, Zhejiang University of Finance & Economics, Hangzhou

来源：

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2016年 / 36卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Consumption utility indifference pricing method; Investment and consumption; Partial information; Real option;

D O I：

10.12011/1000-6788(2016)03-0604-09

中图分类号：

学科分类号：

摘要：

By filter theory, stochastic control theory and consumption utility indifference pricing method, we conduct a real investment model of lump-sum payoff with hedging opportunities in an incomplete market with partial information. By solving a three-dimensional free-boundary partial differential equation (PDE), we obtain the implied value of the option to invest and investment threshold, and identify the optimal investment, consumption decision and portfolio selection. Then we discuss the impacts of changes in the volatility of the investment, the mean appreciation rate estimation risk, and the correlation on the implied value of the option to invest and the implied information value. Our paper has some reference value for an estimation of a real investment and asset management in practice. © 2016, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.

引用

页码：604 / 612

页数：8

共 12 条

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