具有选项和信息过程的指数Levy模型的效用最大化

L. Vostrikova
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引用次数: 3

摘要

考虑了指数Levy模型和HARA效用在组合中存在非流动性资产时的期望效用最大化问题。这种非流动性资产是由另一种与第一种相关的风险资产的欧式期权来模拟的。在Levy过程的某些假设下,给出了用最大效用公式表示的信息过程的表达式。作为应用,我们考虑了具有相关布朗运动的Black-Scholes模型,以及以泊松过程为代表的具有跳跃部分的Black-Scholes模型。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Utility Maximisation for Exponential Levy Models with option and information processes
We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an option of European type on another risky asset which is correlated with the first one. Under some hypothesis on Levy processes, we give the expressions of information processes figured in maximum utility formula. As applications, we consider Black-Scholes models with correlated Brownian Motions, and also Black-Scholes models with jump part represented by Poisson process.
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