Stein-Stein模型的效用无差别定价和套期保值

Utility Indifference Pricing and Hedging in Stein-Stein Model

在风险资产服从Stein-Stein模型的假设下,研究了指数效用函数的无差别定价和套期保值问题。利用动态规划方法得到Stein-Stein模型的效用无差别定价的公式和套期保值策略,并利用效用无差别定价的性质构造了最小熵鞅测度,证明了最小鞅测度与极小熵鞅测度是一致的。

Under the assumption that the traded asset follow the Stein-Stein model, this paper presents utility indifference pricing and hedging of the exponential utility function. By dynamic programming approach, the utility indifference pricing and hedging are obtained. The minimal entropy martingale measure is constructed by the property of the utility indifference pricing. Furthermore, it is shown that the minimal entropy martingale measure coincides with the minimal martingale measure.