scholarly journals Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework

2020 ◽  
Author(s):  
Romain Blanchard ◽  
Laurence Carassus
Keyword(s):  
Multiple Priors ◽  
Utility Indifference ◽  
Indifference Prices

scholarly journals Convergence of Utility Indifference Prices to the Superreplication Price

2006 ◽  
Vol 64 (1) ◽  
pp. 145-154 ◽  
Author(s):  
Laurence Carassus ◽  
Miklós Rásonyi
Keyword(s):  
Utility Indifference ◽  
Indifference Prices

scholarly journals Pricing Basket Weather Derivatives on Rainfall and Temperature Processes

2019 ◽  
Vol 7 (3) ◽  
pp. 35
Author(s):  
Nelson Christopher Dzupire ◽  
Philip Ngare ◽  
Leo Odongo
Keyword(s):  
Weather Derivatives ◽  
Fair Price ◽  
Market Pricing ◽  
No Arbitrage ◽  
Bellman Equations ◽  
Arbitrage Opportunities ◽  
Indifference Price ◽  
Utility Indifference ◽  
Hamilton Jacobi Bellman ◽  
Indifference Prices

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 indifference prices for the seller and buyer of a basket of weather derivatives written on rainfall and temperature. The agent’s risk preference is described by an exponential utility function and the prices are derived by dynamic programming principles and corresponding Hamilton Jacobi-Bellman equations from the stochastic optimal control problems. It is found the indifference measure is equal to the physical measure as there is no correlation between the capital market and weather. The fair price of the derivative should be greater than the seller’s indifference price and less than the buyer’s indifference price for market viability and no arbitrage opportunities.

Utility indifference pricing of convertible bonds

2014 ◽  
Vol 13 (02) ◽  
pp. 429-444 ◽  
Author(s):  
Jian Liu ◽  
Mengxian Tao ◽  
Chaoqun Ma ◽  
Fenghua Wen
Keyword(s):  
Convertible Bonds ◽  
Likelihood Method ◽  
Indifference Pricing ◽  
Market Prices ◽  
Empirical Results ◽  
Utility Indifference Pricing ◽  
Black Scholes ◽  
Utility Indifference Price ◽  
Utility Indifference ◽  
Indifference Prices

We propose a pricing model for convertible bonds based on the utility-indifference method and get access to the empirical results by use of Information Technology. By using the stochastic control theory, the general expression of utility indifference price on convertible bonds is obtained under the CIR interest rate model. Furthermore, using the proposed theoretical model, we present an empirical pricing study of China's market, using three convertible bonds and more than 70 months of daily market prices. The parameters value is estimated by the maximum likelihood method, and the prices of convertible bonds are simulated by the Monte Carlo approach. The empirical results indicate that the theoretical prices are higher than the actual market prices 0.24–4.58%, and the utility indifference prices are better than the Black–Scholes (BS) prices.

scholarly journals Convergence of Utility Indifference Prices to the Superreplication Price: the Whole Real Line Case

2007 ◽  
Vol 96 (1-3) ◽  
pp. 119-135 ◽  
Author(s):  
Laurence Carassus ◽  
Miklós Rásonyi
Keyword(s):  
Real Line ◽  
Utility Indifference ◽  
Indifference Prices

Dynamic CRRA-Utility Indifference Value in Generalized Cox Model

2014 ◽  
Author(s):  
Kun Tian ◽  
Dewen Xiong ◽  
Zhongxing Ye
Keyword(s):  
Cox Model ◽  
Utility Indifference

The Multiple Priors of the Open-Minded Decision Maker

2020 ◽  
Author(s):  
Martin Dumav ◽  
Maxwell Stinchcombe
Keyword(s):  
Decision Maker ◽  
Multiple Priors
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