摘要
在交易资产和非交易资产均服从扩散过程的假设下,研究了指数效用函数下非交易资产欧式未定权益的效用无差别定价.利用动态规划方法得到了效用无差别定价的偏微分方程.
Under the assumption that the traded and nontraded assets are diffusion processes, this paper studies the utility indifference pricing of a European claim written on a nontraded asset with an exponential utility function. Using the dynamic programming approach, the partial differential equation about the indifference pricing is obtained.
出处
《扬州大学学报（自然科学版）》
CAS
CSCD
2005年第3期20-22,共3页
Journal of Yangzhou University：Natural Science Edition
基金
河南省科协软科学研究基金资助项目(0313062400)
关键词
未定权益
非交易资产
无差别定价
偏微分方程
contingent claim
nontraded asset
indifference pricing
partial differential equation
