On Fair Prices of a Contingent Claim with Random Interval Payoff

被引：0

作者：

尤苏蓉 ^{[1
]}

施佳妤 ^{[1
]}

机构：

[1] College of Science,Donghua University

来源：

Journal of Donghua University(English Edition) | 2013年 / 30卷 / 02期

关键词：

utility maximization; weighted expected utility; random interval; fair price;

D O I：

10.19884/j.1672-5220.2013.02.013

中图分类号：

F014.3 [商品生产与交换]; O211.67 [期望与预测];

学科分类号：

0201 ; 020208 ; 070103 ; 0714 ;

摘要：

In order to get the price of a contingent claim with random interval payoff, a concept of fair price was proposed based on weighted expected utility maximization. After setting up a programming model of maximizing the weighted expected utility involving basic securities and contingent claim,and using techniques in optimization analysis,explicit expressions of the fair price interval for a contingent claim were derived. Relations between acceptable price interval and fair price interval were discussed. It is shown that all fair prices fit the demand for acceptability of a market.

引用

页码：153 / 157

页数：5

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