Indifference pricing under sahara utility
WebWe investigate the optimal investment problem under SAHARA utility and derive the optimal strategies in an explicit form using dual optimization methods. We also show how SAHARA utility functions extend the class of contingent claims that can be valued using indifference pricing in incomplete markets. Suggested Citation Web12 jul. 2024 · Indifference Pricing sentence examples within Utility Indifference Pricing Utility Indifference Pricing 10.2139/ssrn.3853237 We establish several dual versions of the problem, one of which has a natural financial interpretation in terms of exponential utility indifference pricing, and prove absence of duality gaps.
Indifference pricing under sahara utility
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WebThe advantages of utility indifference pricing include its economic justification and in-corporation of risk aversion. It leads to a price which is non-linear in the number of units … Web1 sep. 2011 · We investigate the optimal investment problem under SAHARA utility and derive the optimal strategies in an explicit form using dual optimization methods. We also …
WebDOI: 10.1016/j.cam.2024.112522 Corpus ID: 209338687; Optimal investment with derivatives and pricing in an incomplete market @article{Mi2024OptimalIW, title={Optimal investment with derivatives and pricing in an incomplete market}, author={Hui Mi and Lixia Xu}, journal={J. Comput. Web25 jan. 2024 · We study utility indifference pricing of untradeable assets in incomplete markets using a symmetric asymptotic hyperbolic absolute risk aversion …
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WebNext, we consider two expected utility problems via which the indifference price of the writer will be defined. The first problem arises in the classical Merton model of optimal investment, namely V (x,t) = sup Z E −e−γXT X t = x. (5) The investor seeks to maximize the expected utility of terminal wealth without taking into account the ...
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