离散时间模型的指数效用无差别定价

The indifference pricing of the exponential utility function in the discrete time model

利用鞅方法证明了完全市场的指数效用函数无差别定价为无套利定价,讨论了不完全市场中指数效用函数无差别定价计算的关键问题,得到三叉树模型的指数效用无差别定价为特定鞅测度下未定权益期末收益的变异条件期望.

It is shown approach. The key pro ered in the incomplete expectation of continge that the indifference pricing is arbitrage-free blems about the exponential utility function indi market, and the indifference pricing is expressed nt claim under the specific martingale measure at pricing by the martingale fference pricing are consid- as tile conditional variation the terminal date.