منابع مشابه
Dynamic Exponential Utility Indifference Valuation
We study the dynamics of the exponential utility indifference value process C(B; α) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B; α) is (the first component of) the unique solution of a backward stochastic differential equation with a quadratic generator and obtain BMO estimates for the components of this solution. This allows us to ...
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To serve Indian economy railways carry different category of freight traffics like coal, iron ore, food grains, steel, fertilizer and mineral oil, etc. Dispersal of some of these freights is limited compared to other traffics which ambit of outreach is quite large. Food grains and fertilizers are such freights which reach wider section of population, transporting thereby railways carry off its ...
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This article studies the exponential utility-indifference approach to the valuation and hedging problem in incomplete markets. We consider a financial model which is driven by a system of interacting Itô and point processes. The model allows for a variety of mutual stochastic dependencies between the tradable and non-tradable factors of risk, but still permits for a constructive and fairly expl...
متن کاملRational Hedging and Valuation with Utility-Based Preferences
In this thesis, we study stochastic optimization problems in which concave functionals are maximized on spaces of stochastic integrals. Such problems arise in mathematical finance for a risk-averse investor who is faced with valuation, hedging, and optimal investment problems in incomplete financial markets. We are mainly concerned with utility-based methods for the valuation and hedging of non...
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The reload provision in an employee stock option is an option enhancement that allows the employee to pay the strike upon exercising the stock option using his owned stocks and to receive new “reload” stock options. The usual Black-Scholes risk neutral valuation approach may not be appropriate to be adopted as the pricing vehicle for employee stock options, due to the non-transferability of the...
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ژورنال
عنوان ژورنال: Michigan Law Review
سال: 1917
ISSN: 0026-2234
DOI: 10.2307/1276565