The pricing of liabilities in an incomplete market using dynamic meanヨvariance hedging
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 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 specified provisos, a prospective transferor or transferee would be indifferent to the transfer of the liabilities. © 2005 Elsevier B.V. All rights reserved. MSC: C61; G20; IM12; IM22
منابع مشابه
The Pricing of Liabilities in an Incomplete Market Using Dynamic Mean-variance Hedging with Reference to an Equilibrium Market Model
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...
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