| dc.contributor.advisor | 胡聯國 | zh_TW |
| dc.contributor.advisor | Hu,Len Kuo | en_US |
| dc.contributor.author (Authors) | 胡介國 | zh_TW |
| dc.contributor.author (Authors) | Hu,Chieh Kuo | en_US |
| dc.creator (作者) | 胡介國 | zh_TW |
| dc.creator (作者) | Hu,Chieh Kuo | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 11-Oct-2011 19:03:53 (UTC+8) | - |
| dc.date.available | 11-Oct-2011 19:03:53 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Oct-2011 19:03:53 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096751005 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/51654 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 應用數學研究所 | zh_TW |
| dc.description (描述) | 96751005 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 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 (摘要) | 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 maximalexpected 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 iAbstract ii中文摘要 iiiContents iv1 Introduction 12 The Fundamental Financial Market Model 43 Superreplication and Subreplication 74 Utility Indi erence Pricing 115 Proof of the Central Duality Result 156 Conclusion 18References 19 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0096751005 | en_US |
| dc.subject (關鍵詞) | 不完全市場 | zh_TW |
| dc.subject (關鍵詞) | 局部積率平賭 | zh_TW |
| dc.subject (關鍵詞) | 效用無差異定價 | zh_TW |
| dc.subject (關鍵詞) | incomplete markets | en_US |
| dc.subject (關鍵詞) | local martingale | en_US |
| dc.subject (關鍵詞) | utility indifference pricing | en_US |
| dc.title (題名) | 效用無差異價格於不完全市場下之應用 | zh_TW |
| dc.title (題名) | Utility indifference pricing in incomplete markets | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | [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 (參考文獻) | [2] Follmer, H., and A. Schied (2002): Convex Measures of Risk and Trading Constraints, Finance Stochast. 6, 429-447. | zh_TW |
| dc.relation.reference (參考文獻) | [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 (參考文獻) | [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 (參考文獻) | of Probability. | zh_TW |
| dc.relation.reference (參考文獻) | [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 (參考文獻) | [6] _Ilhan, A., M. Jonsson,and R. Sircar (2005): Optimal investment with derivative securities, Finance Stochast. 9, 585-595. | zh_TW |
| dc.relation.reference (參考文獻) | [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 (參考文獻) | [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 (參考文獻) | and Relat. Fields 105, 459-479. | zh_TW |
| dc.relation.reference (參考文獻) | [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 (參考文獻) | [10] ksendal, B.: Stochastic Di erential Equations: an introduction with applications, 6ed, Springer 2003. | zh_TW |
| dc.relation.reference (參考文獻) | [11] ksendal, B., and A. Sulem (2009): Risk indi erence pricing in jump di usion markets, Math. Finance 19, 619-637. | zh_TW |
