Forward Indifference Valuation of ESOs

2021 ◽  
pp. 169-203
Keyword(s):  
Indifference Valuation

scholarly journals ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION

2010 ◽  
Vol 13 (07) ◽  
pp. 1075-1101 ◽  
Author(s):  
KEITA OWARI
Keyword(s):  
Dual Problem ◽  
Maximization Problem ◽  
Probability Measures ◽  
Primal Problem ◽  
Robust Version ◽  
Indifference Valuation ◽  
Robust Utility Maximization ◽  
Indifference Price ◽  
Utility Indifference ◽  
Utility Maximization Problem

We discuss the problem of exponential hedging in the presence of model uncertainty expressed by a set of probability measures. This is a robust utility maximization problem with a contingent claim. We first consider the dual problem which is the minimization of penalized relative entropy over a product set of probability measures, showing the existence and variational characterizations of the solution. These results are applied to the primal problem. Then we consider the robust version of exponential utility indifference valuation, giving the representation of indifference price using a duality result.

scholarly journals Dynamic exponential utility indifference valuation

2005 ◽  
Vol 15 (3) ◽  
pp. 2113-2143 ◽  
Author(s):  
Michael Mania ◽  
Martin Schweizer
Keyword(s):  
Exponential Utility ◽  
Indifference Valuation ◽  
Utility Indifference

scholarly journals Robust Portfolio Choice and Indifference Valuation

2014 ◽  
Vol 39 (4) ◽  
pp. 1109-1141 ◽  
Author(s):  
Roger J. A. Laeven ◽  
Mitja Stadje
Keyword(s):  
Portfolio Choice ◽  
Indifference Valuation ◽  
Robust Portfolio

Forward indifference valuation of American options

Stochastics ◽  
2012 ◽  
Vol 84 (5-6) ◽  
pp. 741-770 ◽  
Author(s):  
Tim Leung ◽  
Ronnie Sircar ◽  
Thaleia Zariphopoulou
Keyword(s):  
American Options ◽  
Indifference Valuation

scholarly journals Pseudo linear pricing rule for utility indifference valuation

2014 ◽  
Vol 18 (3) ◽  
pp. 593-615 ◽  
Author(s):  
Vicky Henderson ◽  
Gechun Liang
Keyword(s):  
Indifference Valuation ◽  
Utility Indifference ◽  
Pricing Rule

Utility indifference valuation of corporate bond with rating migration risk

2015 ◽  
Vol 10 (6) ◽  
pp. 1389-1400
Author(s):  
Jin Liang ◽  
Xudan Zhang ◽  
Yuejuan Zhao
Keyword(s):  
Corporate Bond ◽  
Indifference Valuation ◽  
Utility Indifference

scholarly journals Indifference valuation in incomplete binomial models

2010 ◽  
Vol 3 (2) ◽  
pp. 1-36 ◽  
Author(s):  
M. Musiela ◽  
E. Sokolova ◽  
T. Zariphopoulou
Keyword(s):  
Indifference Valuation ◽  
Binomial Models

scholarly journals Exponential utility indifference valuation in two Brownian settings with stochastic correlation

2008 ◽  
Vol 40 (2) ◽  
pp. 401-423 ◽  
Author(s):  
Christoph Frei ◽  
Martin Schweizer
Keyword(s):  
Monotonicity Property ◽  
Exponential Utility ◽  
Upper And Lower Bounds ◽  
Martingale Measure ◽  
Maximization Problem ◽  
Stochastic Correlation ◽  
Indifference Valuation ◽  
Random Endowment ◽  
Utility Indifference ◽  
Utility Maximization Problem

We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and lower bounds, in terms of bounds on the correlation, for the value VB of the exponential utility maximization problem with the claim B as random endowment. This yields an explicit formula for the indifference value b of B at any time, even with a fairly general stochastic correlation. Earlier results with constant correlation are recovered and extended. The reason why all this works is that, after a transformation to the minimal martingale measure, the value VB enjoys a monotonicity property in the correlation between tradable and nontradable assets.

scholarly journals AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION

2007 ◽  
Vol 10 (03) ◽  
pp. 475-503
Author(s):  
TAKUJI ARAI
Keyword(s):  
Asymptotic Behavior ◽  
Exponential Function ◽  
Contingent Claims ◽  
Exponential Utility ◽  
Contingent Claim ◽  
Power Functions ◽  
Valuation Method ◽  
Indifference Valuation ◽  
Utility Indifference ◽  
Definition Of

We propose, in this paper, a new valuation method for contingent claims, which approximates to the exponential utility indifference valuation. In particular, we treat both ask and bid valuations. In the definition of the exponential utility indifference valuation, we require strong integrability for the underlying contingent claim. The new valuation in this paper succeeds in reducing it by using a kind of power functions instead of the exponential function. Furthermore, we shall investigate some basic properties and an asymptotic behavior of the new valuation.

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