Using duality methods, we prove several key properties of the indifference price π for contingent claims. The underlying market model is very general and the mathematical formulation is based on a duality naturally induced by the problem. In particular, the indifference price π turns out to be a convex risk measure on the Orlicz space induced by the utility function.
Biagini, Sara; Marco, Frittelli; Matheus, Grasselli. (2011). Indifference price with general semimartingales. MATHEMATICAL FINANCE, (ISSN: 0960-1627), 21:3, 423-446. Doi: 10.1111/j.1467-9965.2010.00443.x.
Indifference price with general semimartingales
BIAGINI, SARA;
2011
Abstract
Using duality methods, we prove several key properties of the indifference price π for contingent claims. The underlying market model is very general and the mathematical formulation is based on a duality naturally induced by the problem. In particular, the indifference price π turns out to be a convex risk measure on the Orlicz space induced by the utility function.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
BFGindiff.pdf
Solo gestori archivio
Tipologia:
Versione dell'editore
Licenza:
Tutti i diritti riservati
Dimensione
219.53 kB
Formato
Adobe PDF
|
219.53 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
