A note on the term structure of risk aversion in utility-based pricing systems
نویسندگان
چکیده
We study utility-based pricing systems for options written on a nontraded asset in the presence of a correlated traded asset. We develop and analyse a concept of the term structure of risk aversion which unables us to consider options of di¤erent maturities in a way which is consistent with the present value calculations. In our framework European options of di¤erent maturities are priced relatively to a given portfolio rather then rather then realtively to the market porfolio
منابع مشابه
Investigating the Role of real Money Balances in Households' Preferences function in the Framework of the Assets Pricing Models (M-CCAPM): Case study of Iran
In this paper, we try to develop and modify the basic model of the consumption-based capital asset pricing model by adding the growth in real money balances rate as a risk factor in the household's utility function as (M-CCAPM). For this purpose, two forms of utility function with constant relative risk aversion (CRRA) preferences and recursive preferences have been used such that M1 and M2 are...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملRisk premiums and certainty equivalents of loss-averse newsvendors of bounded utility
Loss-averse behavior makes the newsvendors avoid the losses more than seeking the probable gains as the losses have more psychological impact on the newsvendor than the gains. In economics and decision theory, the classical newsvendor models treat losses and gains equally likely, by disregarding the expected utility when the newsvendor is loss-averse. Moreover, the use of unbounded utility to m...
متن کاملA game Theoretic Approach to Pricing, Advertising and Collection Decisions adjustment in a closed-loop supply chain
This paper considers advertising, collection and pricing decisions simultaneously for a closed-loop supplychain(CLSC) with one manufacturer(he) and two retailers(she). A multiplicatively separable new demand function is proposed which influenced by pricing and advertising. In this paper, three well-known scenarios in the game theory including the Nash, Stackelberg and Cooperative games are expl...
متن کاملمدیریت تقاضای آب آبیاری: کاربرد روش مطلوبیت چند معیاری
The main objective of this paper is to study the differential impacts of various irrigation water pricing policies. The methodology used is based upon Multi-Attribute Utility Theory (MAUT) mathematical programming models and also simulation. Two kinds of data needed to feed the models were obtained from official records and surveying. The analysis of water pricing policy indicates that the most...
متن کامل