简短交流：信息的价格

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2024-08-05 DOI:10.1137/24m1644791

Sebastian Jaimungal, Xiaofei Shi

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引用次数: 0

摘要

SIAM Journal on Financial Mathematics, Volume 15, Issue 3, Page SC54-SC67, September 2024. 摘要.当投资者面临购买资产价格额外信息的选择时，她应该支付多少钱？为了解决这个问题，我们求解了交易者在有限时间跨度内最大化其终端财富预期效用的情况下的信息无差异价格。如果她不购买信息，那么她就解决了一个部分信息随机控制问题，而如果她购买信息，那么她就支付了成本，并获得了关于资产轨迹的部分信息。我们进一步证明，当投资者可以在交易期限结束前的任何停止时间购买信息时，她会选择在确定时间购买。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Short Communication: The Price of Information

SIAM Journal on Financial Mathematics, Volume 15, Issue 3, Page SC54-SC67, September 2024.
Abstract.When an investor is faced with the option to purchase additional information regarding an asset price, how much should she pay? To address this question, we solve for the indifference price of information in a setting where a trader maximizes her expected utility of terminal wealth over a finite time horizon. If she does not purchase the information, then she solves a partial information stochastic control problem, while if she does purchase the information, then she pays a cost and receives partial information about the asset’s trajectory. We further demonstrate that when the investor can purchase the information at any stopping time prior to the end of the trading horizon, she chooses to do so at a deterministic time.

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.