RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS
نویسندگان
چکیده
منابع مشابه
Pricing Jump Risk with Utility Indifference∗
This paper is concerned with option pricing in an incomplete market driven by a jumpdiffusion process. We price options according to the principle of utility indifference. Our main contribution is an efficient multi-nomial tree method for computing the utility indifference prices for both European and American options. Moreover, we conduct an extensive numerical study to examine how the indiffe...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2009
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.2009.00382.x