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Any-utility neutral and indifference pricing and hedging

Any-utility neutral and indifference pricing and hedging Using recent, original approach, neutral and indifference pricing PDEs are derived for general multi-dimensional Markovian diffusive market models and, under certain conditions, for any utility of wealth. In the case of portfolios of contracts the pricing PDE system is proved for neutral, while conjectured and discussed for indifference pricing. Hedging formulas are given too. Some special cases are derived as well to demonstrate the consistency with the well known results. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Risk and Decision Analysis IOS Press

Any-utility neutral and indifference pricing and hedging

Risk and Decision Analysis , Volume 4 (2) – Jan 1, 2013

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References (11)

Publisher
IOS Press
Copyright
Copyright © 2013 by IOS Press, Inc
ISSN
1569-7371
eISSN
1875-9173
DOI
10.3233/RDA-2012-0085
Publisher site
See Article on Publisher Site

Abstract

Using recent, original approach, neutral and indifference pricing PDEs are derived for general multi-dimensional Markovian diffusive market models and, under certain conditions, for any utility of wealth. In the case of portfolios of contracts the pricing PDE system is proved for neutral, while conjectured and discussed for indifference pricing. Hedging formulas are given too. Some special cases are derived as well to demonstrate the consistency with the well known results.

Journal

Risk and Decision AnalysisIOS Press

Published: Jan 1, 2013

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