论有无中间交易的效用衍生品定价

Statistics & Decisions Pub Date : 1900-01-01 DOI:10.1524/STND.2006.24.4.415

J. Kallsen, C. Kühn

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引用次数: 2

摘要

不完全市场中或有债权的中性估值方法是基于这样的假设:投资者是相同的效用最大化者，衍生品的供求是平衡的。它与Hugonnier et al.(2005)意义上的(边际)基于效用的定价密切相关，然而，在衍生品中只有买入并持有的投资是可能的。

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On utility-based derivative pricing with and without intermediate trades

The neutral valuation approach for contingent claims in incomplete markets is based on the assumption that investors are identical utility maximizers and that derivative supply and demand are balanced. It is closely related to (marginal) utility-based pricing in the sense of Hugonnier et al. (2005), where however only buy-and-hold investments in the derivative are possible.

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Statistics & Decisions

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