Relevant bibliographies by topics / Utility indifference price

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Academic literature on the topic 'Utility indifference price'

Author: Grafiati
Published: 4 June 2021
Last updated: 11 February 2022

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Journal articles on the topic "Utility indifference price"

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Liu, Jian, Mengxian Tao, Chaoqun Ma, and Fenghua Wen. "Utility indifference pricing of convertible bonds." International Journal of Information Technology & Decision Making 13, no. 02 (2014): 429–44. http://dx.doi.org/10.1142/s0219622014500527.

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We propose a pricing model for convertible bonds based on the utility-indifference method and get access to the empirical results by use of Information Technology. By using the stochastic control theory, the general expression of utility indifference price on convertible bonds is obtained under the CIR interest rate model. Furthermore, using the proposed theoretical model, we present an empirical pricing study of China's market, using three convertible bonds and more than 70 months of daily market prices. The parameters value is estimated by the maximum likelihood method, and the prices of con
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Dzupire, Nelson Christopher, Philip Ngare, and Leo Odongo. "Pricing Basket Weather Derivatives on Rainfall and Temperature Processes." International Journal of Financial Studies 7, no. 3 (2019): 35. http://dx.doi.org/10.3390/ijfs7030035.

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This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging. A utility indifference method is developed for the specification of indifference prices for the seller and buyer of a basket of weather derivatives written on rainfall and temperature. The agent’s risk preference is described by an exponential utility function and the prices are derived by dynamic programming principles and corresponding Hamilton Jacobi-Bellman equations from the stochastic optimal control problems. It
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Carassus, Laurence, and Miklós Rásonyi. "Convergence of Utility Indifference Prices to the Superreplication Price." Mathematical Methods of Operations Research 64, no. 1 (2006): 145–54. http://dx.doi.org/10.1007/s00186-006-0074-4.

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Ngo, M., T. Nguyen, and T. Duong. "Indifference pricing with counterparty risk." Bulletin of the Polish Academy of Sciences Technical Sciences 65, no. 5 (2017): 695–702. http://dx.doi.org/10.1515/bpasts-2017-0074.

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Abstract We present counterparty risk by a jump in the underlying price and a structural change of the price process after the default of the counterparty. The default time is modeled by a default-density approach. Then we study an exponential utility-indifference price of an European option whose underlying asset is exposed to this counterparty risk. Utility-indifference pricing method normally consists in solving two optimization problems. However, by using the minimal entropy martingale measure, we reduce to solving just one optimal control problem. In addition, to overcome the incompletene
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BENTH, FRED ESPEN, and FRANK PROSKE. "UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES." International Journal of Theoretical and Applied Finance 12, no. 01 (2009): 63–82. http://dx.doi.org/10.1142/s0219024909005117.

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We consider the problem of utility indifference pricing of a put option written on a non-tradeable asset, where we can hedge in a correlated asset. The dynamics are assumed to be a two-dimensional geometric Brownian motion, and we suppose that the issuer of the option have exponential risk preferences. We prove that the indifference price dynamics is a martingale with respect to an equivalent martingale measure (EMM) Q after discounting, implying that it is arbitrage-free. Moreover, we provide a representation of the residual risk remaining after using the optimal utility-based trading strateg
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Huang, Zhehao, Zhenghui Li, and Zhenzhen Wang. "Utility Indifference Valuation for Defaultable Corporate Bond with Credit Rating Migration." Mathematics 8, no. 11 (2020): 2033. http://dx.doi.org/10.3390/math8112033.

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Credit risk modeling by debt pricing has been a popular theme in both academia and practice since the subprime crisis. In this paper, we devote our study to the indifferent price of a corporate bond with credit risk involving both default risk and credit rating migration risk in an incomplete market. The firm’s stock and a financial index on the market as tradable assets are introduced to hedge the credit risk, and the bond price is determined by the indifference of investors’ utilities with and without holding the bond. The models are established under the structural framework and result in H
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OWARI, KEITA. "ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION." International Journal of Theoretical and Applied Finance 13, no. 07 (2010): 1075–101. http://dx.doi.org/10.1142/s0219024910006121.

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We discuss the problem of exponential hedging in the presence of model uncertainty expressed by a set of probability measures. This is a robust utility maximization problem with a contingent claim. We first consider the dual problem which is the minimization of penalized relative entropy over a product set of probability measures, showing the existence and variational characterizations of the solution. These results are applied to the primal problem. Then we consider the robust version of exponential utility indifference valuation, giving the representation of indifference price using a dualit
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Boonen, Tim J., Ken Seng Tan, and Sheng Chao Zhuang. "PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS." ASTIN Bulletin 46, no. 2 (2016): 507–30. http://dx.doi.org/10.1017/asb.2016.8.

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AbstractOptimal reinsurance indemnities have widely been studied in the literature, yet the bargaining for optimal prices has remained relatively unexplored. Therefore, the key objective of this paper is to analyze the price of reinsurance contracts. We use a novel way to model the bargaining powers of the insurer and reinsurer, which allows us to generalize the contracts according to the Nash bargaining solution, indifference pricing and the equilibrium contracts. We illustrate these pricing functions by means of inverse-Sshaped distortion functions for the insurer and the Value-at-Risk for t
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Ellanskaya, A., and L. Vostrikova. "Utility Maximisation and Utility Indifference Price for Exponential Semi-martingale Models and HARA Utilities." Труды Математического института им. Стеклова 287, no. 04 (2014): 75–102. http://dx.doi.org/10.1134/s0371968514040050.

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Ellanskaya, A., and L. Vostrikova. "Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities." Proceedings of the Steklov Institute of Mathematics 287, no. 1 (2014): 68–95. http://dx.doi.org/10.1134/s0081543814080057.

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Dissertations / Theses on the topic "Utility indifference price"

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Ellanskaya, Anastasia. "Utility maximisation and utility indifference pricing for exponential semimartingale models." Thesis, Angers, 2015. http://www.theses.fr/2015ANGE0061.

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Dans cette thèse nous considérons le problème de la maximisation d’utilité et de la formation des prix d’indifférence pour les modèles semimartingales exponentiels dépendant d’un facteur aléatoire ξ. L’enjeu est de résoudre le problème des prix d’indifférence en utilisant le grossissement de l’espace et de la filtration. Nous réduisons le problème de maximisation dans la filtration élargie au problème conditionnel, sachant {ξ = v}, que nous résolvons en utilisant une approche duale. Pour HARA-utilités nous introduisons les informations telles que les entropies relatives et les intégrales de type
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Benedetti, Giuseppe. "Investissement optimal et évaluation d'actifs sous certaines imperfections de marché." Phd thesis, Université Paris Dauphine - Paris IX, 2013. http://tel.archives-ouvertes.fr/tel-00957313.

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Dans cette thèse, nous nous intéressons à des sujets différents en mathématiques financières, tous liés aux imperfections de marché et à la technique fondamentale de la maximisation d'utilité. Elle comporte trois parties. Dans la première, qui se base sur deux papiers, nous considérons le problème d'investissement optimal sur un marché financier avec coûts de transaction proportionnels. On commence par étudier le problème d'investissement dans le cas où la fonction d'utilité est multivariée (ce qui s'adapte particulièrement bien aux marchés des devises) et l'agent a une dotation initiale aléat
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