컨텐츠 시작
학술대회/행사
초록검색
| 제출번호(No.) | 0299 |
|---|---|
| 분류(Section) | Poster Session |
| 분과(Session) | Probability / Stochastic Process / Statistics (SS-12) |
| 영문제목 (Title(Eng.)) |
Utility indifference valuation of a contingent claim in an incomplete market |
| 저자(Author(s)) |
Daryl Allen Saddi1, Jose Maria Escaner IV1, Adrian Roy Valdez1 University of the Philippines1 |
| 초록본문(Abstract) | Under the assumption of an incomplete market, one can assume that there is at least one illiquid asset that may entail a contingent claim $H$ at tine $T < \infty$. Usually, this contingent claim could not be hedged using a replication strategy and hence can not be priced using no-arbitrage arguments alone. In order to hedge such claims, we look into the investor's attitude towards risk and devise a way in using such preference to determine a suitable valuation for the claim and thus introduce the notion of a subjective ``fair" price. Using a jump-diffusion process to model stock prices, we derive an appropriate Hamilton-Jacobi-Bellman (HJB) equation then come up with a verification theorem that identifies the solution to the underlying maximization problem. Using the logarithmic utility function to model the investor's preference, we then use the previous results to establish a closed form equation for the utility-indifference price of the claim $H$. |
| 분류기호 (MSC number(s)) |
60H30 |
| 키워드(Keyword(s)) | utility indifference price, logarithmic utility |
| 강연 형태 (Language of Session (Talk)) |
English |