컨텐츠 시작
학술대회/행사
초록검색
| 제출번호(No.) | 0542 |
|---|---|
| 분류(Section) | Poster Session |
| 분과(Session) | Probability / Stochastic Process / Statistics (SS-12) |
| 영문제목 (Title(Eng.)) |
On the utility indifference pricing using a power utility function |
| 저자(Author(s)) |
Jose Maria L. Escaner IV1, Noemi Barcial-Torre1 University of the Philippines1, University of Asia and the Pacific2 |
| 초록본문(Abstract) | We look into the existence of a solution of maximizing the power utility function of the terminal wealth. Assume that the bond prices $B_t$ satisfy the equation $dB_t = rB_tdt$ with $r>0$, while the stock prices follow a diffusion model with switching coefficients. In 2012, Valdez and Vargiolu came up with an optimal portfolio in a regime-switching model when there are no future claims are considered. In this paper, we look into a utility indifference price where the utility function is a CRRA with $\gamma\neq 1$ and the future claim amount is nonzero. |
| 분류기호 (MSC number(s)) |
91G10 |
| 키워드(Keyword(s)) | optimal portfolio, CRRA utility function, indifference pricing |
| 강연 형태 (Language of Session (Talk)) |
English |