离散时间模型的效用无差别定价和套期保值

Utility-indifference pricing and hedging in discrete time model

采用动态规划方法研究单阶段模型的效用无差别定价和套期保值策略,得到指数效用的无差别定价和套期保值策略的精确解,利用数值解例子探讨幂效用函数的无差别定价和套期保值策略,得出定价与投资者初始财富之间的关系.

This paper studies the utility-indifference and the approach to the valuation and hedging problem using the dynamic programming in a one period model.The explicit solution of the utility price and hedging strategy with the exponential utility function can be obtained.The power utility-indifference price and hedging strategy can be described by the equation which can be solved by numerical example.It is shown that the price is dependent of the initial endowment.