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Title: 效用無差異價格於不完全市場下之應用
Utility indifference pricing in incomplete markets
Authors: 胡介國
Hu,Chieh Kuo
Contributors: 胡聯國
Hu,Len Kuo
Hu,Chieh Kuo
Keywords: 不完全市場
incomplete markets
local martingale
utility indifference pricing
Date: 2009
Issue Date: 2011-10-11 19:03:53 (UTC+8)
Abstract: 在不完全市場下,衍生性金融商品可利用上套利和下套利價格來訂出價格區間。我們運用效用無差異定價於此篇論文中,此定價方式為尋找一個初始交易價,會使在起始時交易商品和無交易商品於商品到期日之最大期望效用相等。利用主要的對偶結果,我們證明在指數效用函數下,效用無差異定價區間會比上套利和下套利定價區間小。
In incomplete markets, prices of a contingent claim can be obtained between the upper and lower hedging prices. In this thesis, we will use utility indifference pricing to nd an initial payment for which the maximal expected utility of trading the claim is indi erent to the maximal
expected utility of no trading. From the central duality result, we show that the gap between the seller's and the buyer's utility indi erence prices is always smaller than the gap between the upper and lower hedging prices under the exponential utility function.
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Description: 碩士
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Data Type: thesis
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