The Pricing of Liabilities in an Incomplete Market Using Dynamic Mean-variance Hedging with Reference to an Equilibrium Market Model
نویسنده
چکیده
In this article the method of pricing the liabilities of a financial institution by means of dynamic mean–variance hedging is applied to the situation of an incomplete market that is nevertheless in equilibrium. For a given stochastic asset–liability model that is consistent with the market, the article shows how to determine a unique price at which, subject to specified provisos, a prospective buyer or seller would be indifferent about concluding the transaction.
منابع مشابه
The pricing of liabilities in an incomplete market using dynamic meanヨvariance hedging
In this article the method of pricing the liabilities of a financial institution by means of dynamic mean–variance hedging is applied to the situation of an incomplete market that is nevertheless in equilibrium with homogeneous expectations. For a given stochastic asset–liability model that is consistent with the market, the article shows how to determine the price at which, subject to specifie...
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