Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/51654
DC Field | Value | Language |
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dc.contributor.advisor | 胡聯國 | zh_TW |
dc.contributor.advisor | Hu,Len Kuo | en_US |
dc.contributor.author | 胡介國 | zh_TW |
dc.contributor.author | Hu,Chieh Kuo | en_US |
dc.creator | 胡介國 | zh_TW |
dc.creator | Hu,Chieh Kuo | en_US |
dc.date | 2009 | en_US |
dc.date.accessioned | 2011-10-11T11:03:53Z | - |
dc.date.available | 2011-10-11T11:03:53Z | - |
dc.date.issued | 2011-10-11T11:03:53Z | - |
dc.identifier | G0096751005 | en_US |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/51654 | - |
dc.description | 碩士 | zh_TW |
dc.description | 國立政治大學 | zh_TW |
dc.description | 應用數學研究所 | zh_TW |
dc.description | 96751005 | zh_TW |
dc.description | 98 | zh_TW |
dc.description.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。 | zh_TW |
dc.description.abstract | 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\nexpected 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. | en_US |
dc.description.tableofcontents | 謝辭 i\nAbstract ii\n中文摘要 iii\nContents iv\n1 Introduction 1\n2 The Fundamental Financial Market Model 4\n3 Superreplication and Subreplication 7\n4 Utility Indi erence Pricing 11\n5 Proof of the Central Duality Result 15\n6 Conclusion 18\nReferences 19 | zh_TW |
dc.language.iso | en_US | - |
dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0096751005 | en_US |
dc.subject | 不完全市場 | zh_TW |
dc.subject | 局部積率平賭 | zh_TW |
dc.subject | 效用無差異定價 | zh_TW |
dc.subject | incomplete markets | en_US |
dc.subject | local martingale | en_US |
dc.subject | utility indifference pricing | en_US |
dc.title | 效用無差異價格於不完全市場下之應用 | zh_TW |
dc.title | Utility indifference pricing in incomplete markets | en_US |
dc.type | thesis | en |
dc.relation.reference | [1] Delbaen, F., P. Grandits, T. Rheinlander, D. Samperi, M. Schweizer, and C. Stricker (2002): Exponential hedging and entropic penalties, Math. Finance 12, 99-123. | zh_TW |
dc.relation.reference | [2] Follmer, H., and A. Schied (2002): Convex Measures of Risk and Trading Constraints, Finance Stochast. 6, 429-447. | zh_TW |
dc.relation.reference | [3] Fritelli, M. (2002a): The minimal Entropy Martingale Measure and the Valuation Problem in Incomplete markets, Math. Finance 10, 39-52. | zh_TW |
dc.relation.reference | [4] Grandits, P., and T. Rheinlander (1999): On the Minimal Entropy Martingale Measure, Preprint, Technical University of Berlin, to appear in Annals | zh_TW |
dc.relation.reference | of Probability. | zh_TW |
dc.relation.reference | [5] Hodges, S. D., and A. Neuberger (1989): Optimal replication of contingent claims under transaction costs, Rev. Future Markets 8, 222-239. | zh_TW |
dc.relation.reference | [6] _Ilhan, A., M. Jonsson,and R. Sircar (2005): Optimal investment with derivative securities, Finance Stochast. 9, 585-595. | zh_TW |
dc.relation.reference | [7] Kabanov, Y. M., and C. Stricker (2002): On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper, Math. Finance 12, 125-134. | zh_TW |
dc.relation.reference | [8] Kramkrov, D. O. (1996): Optimal decomposition of supermartingales and hedging of contingent claims in incomplete security markets. Probab. Theory | zh_TW |
dc.relation.reference | and Relat. Fields 105, 459-479. | zh_TW |
dc.relation.reference | [9] Kunita, H. (2004): Representation of Martingales with Jumps and Application to Mathematical Finance, Advanced Studies in Pure Mathematics, Math. Soc. Japan, Tokyo, 41, 209-232. | zh_TW |
dc.relation.reference | [10] ksendal, B.: Stochastic Di erential Equations: an introduction with applications, 6ed, Springer 2003. | zh_TW |
dc.relation.reference | [11] ksendal, B., and A. Sulem (2009): Risk indi erence pricing in jump di usion markets, Math. Finance 19, 619-637. | zh_TW |
item.languageiso639-1 | en_US | - |
item.grantfulltext | open | - |
item.openairetype | thesis | - |
item.fulltext | With Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 學位論文 |
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