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| 研究生： |
胡介國 Hu,Chieh Kuo |
|---|---|
| 論文名稱： |
效用無差異價格於不完全市場下之應用 Utility indifference pricing in incomplete markets |
| 指導教授： |
胡聯國
Hu,Len Kuo |
| 學位類別： |
碩士
Master |
| 系所名稱： |
理學院 - 應用數學系 Department of Mathematical Sciences |
| 論文出版年： | 2009 |
| 畢業學年度： | 98 |
| 語文別： | 英文 |
| 論文頁數： | 25 |
| 中文關鍵詞： | 不完全市場 、局部積率平賭 、效用無差異定價 |
| 外文關鍵詞： | incomplete markets, local martingale, utility indifference pricing |
| 相關次數： | 點閱：119 下載：25 |
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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.
謝辭 i
Abstract ii
中文摘要 iii
Contents iv
1 Introduction 1
2 The Fundamental Financial Market Model 4
3 Superreplication and Subreplication 7
4 Utility Indi erence Pricing 11
5 Proof of the Central Duality Result 15
6 Conclusion 18
References 19
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