A valuation algorithm for indifference prices in incomplete markets

被引：55
作者：
Musiela, M
Zariphopoulou, T
机构：
[1] BNP Paribas, London NW1 6AA, England
[2] Univ Texas, Dept Math, Austin, TX 78712 USA
[3] Univ Texas, Dept Management Sci, Austin, TX 78712 USA
[4] Univ Texas, Dept Informat Syst, Austin, TX 78712 USA
来源：
FINANCE AND STOCHASTICS | 2004年 / 8卷 / 03期
关键词：
incomplete markets; indifference prices; nonlinear pricing algorithm;
D O I：
10.1007/s00780-003-0117-0
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
A probabilistic iterative algorithm is constructed for indifference prices of claims in a multiperiod incomplete model. At each time step, a nonlinear pricing functional is applied that isolates and prices separately the two types of risk. It is represented solely in terms of risk aversion and the pricing measure, a martingale measure that preserves the conditional distribution of unhedged risks, given the hedgeable ones, from their historical counterparts.
引用
收藏
页码：399 / 414
页数：16
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