Zobrazeno 1 - 10
of 225
pro vyhledávání: '"Indifference price"'
Publikováno v:
Sustainability, 15(9)
Sustainability; Volume 15; Issue 9; Pages: 7084
Sustainability; Volume 15; Issue 9; Pages: 7084
Most gasoline currently consumed in Mexico continues to be oxygenated with Methyl Tert-Butyl Ether (MTBE) despite its proven effects on the environment and human health. Hence, the existence of a regulatory framework on biofuels and various instituti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::08af87fce35571716d424241bf282a33
https://doi.org/10.3390/su15097084
https://doi.org/10.3390/su15097084
Autor:
Birgit Rudloff, Firdevs Ulus
Publikováno v:
Mathematics and Financial Economics
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price bounds as se
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::46bb59c7fa915d7cfc4fe5649adee9fa
https://doi.org/10.1007/s11579-020-00282-x
https://doi.org/10.1007/s11579-020-00282-x
Autor:
Ibrahim Ekren, Sergey Nadtochiy
Publikováno v:
Mathematical Finance. 32:172-225
In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical challenge of this work stems from the degeneracy of the second order term
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::37a20e49a7bc0dd0d08a3da727c00341
https://doi.org/10.1111/mafi.12330
https://doi.org/10.1111/mafi.12330
Akademický článek
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Autor:
Magnus Holm, Hans-Peter Bermin
Publikováno v:
Journal of Futures Markets. 41:987-1006
In this paper we show that a Kelly trader is indifferent to trade a derivative if and only if the no-arbitrage price is uniquely given by the minimal martingale measure price, thus providing a natural selection mechanism for option pricing in incompl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::39ac3428104033b3af01482eaf4199eb
https://doi.org/10.1002/fut.22210
https://doi.org/10.1002/fut.22210
Publikováno v:
International Journal of Financial Studies, Vol 7, Iss 3, p 35 (2019)
This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging. A utility indifference method is developed for the specification of indif
Externí odkaz:
https://doaj.org/article/7a459dc139a84a3e82297252a811de2f
Autor:
Nabil Kazi-Tani
Publikováno v:
European Actuarial Journal. 11:161-183
We consider the problem of indifference pricing of reinsurance contracts that contain a reinstatement clause. We define the indifference price relative to both a monetary utility function and a risk measure, to take into account both the risk reducti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::38c6a2201ee5015f5c8d2331a0cb9bf2
https://doi.org/10.1007/s13385-020-00257-8
https://doi.org/10.1007/s13385-020-00257-8
Publikováno v:
Journal of Economic Behavior & Organization. 180:638-656
The literature on optimal insurance typically considers optimal risk sharing between one insurer (or reinsurer) and one insurance prospect. However, the insurance business is based on diversification benefits that arise when pooling many insurance po
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fc55be367619838efbc4f851deeeabf8
https://doi.org/10.1016/j.jebo.2020.02.012
https://doi.org/10.1016/j.jebo.2020.02.012
Autor:
Romain Blanchard, Laurence Carassus
Publikováno v:
Mathematical Finance. 31:366-398
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0f921c5c4e08bffd9cadc0d0242cc413
https://doi.org/10.1111/mafi.12288
https://doi.org/10.1111/mafi.12288
Autor:
Scott Robertson, Tetsuya Ishikawa
Publikováno v:
Mathematical Finance. 30:577-620
We consider the optimal investment problem when the traded asset may default, causing a jump in its price. For an investor with constant absolute risk aversion, we compute indifference prices for defaultable bonds, as well as a price for dynamic prot
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c07ca25bdbe5e6a92a58bc4c4194dd2d
https://doi.org/10.1111/mafi.12219
https://doi.org/10.1111/mafi.12219