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| 幂效用函数的无差别定价和套期保值 | |
| 引用本文： | 刘利敏,牛保青,闫海峰.幂效用函数的无差别定价和套期保值[J].数学的实践与认识,2009,39(5). |
| 作者姓名： | 刘利敏 牛保青 闫海峰 |
| 作者单位： | 1. 河南师范大学数学与信息科学学院,河南新乡,453007 2. 安阳师范学院数学科学学院,河南安阳,455000 3. 南京财经大学金融学院,南京,210046 |
| 基金项目： | 河南省软科学研究基金 |
| 摘 要： | 研究了多维扩散模型幂效用函数的无差别定价和套期保值.通过动态规划方法得到了未定权益的无差别定价和套期保值策略.并证明了无差别定价与风险厌恶指数无关的. |
| 关 键 词： | 多维扩散模型 幂效用函数 效用无差别定价 效用无差别套期保值 |
Utility Indifference Pricing and Hedging of Power Utility Function |
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| LIU Li-min,NIU Bao-qing,YAN Hai-feng.Utility Indifference Pricing and Hedging of Power Utility Function[J].Mathematics in Practice and Theory,2009,39(5). | |
| Authors: | LIU Li-min NIU Bao-qing YAN Hai-feng |
| Abstract: | The paper presents the indifference pricing and hedging of power utility function under multi-dimension diffusion model.By dynamic programming approach,the utility indifference pricing and hedging strategy of the claim are obtained,and it is shown that the indifference pricing of the claim is independent of the risk aversion parameter. |
| Keywords: | multi-dimension diffusion model power utility functin utility indifference pricing utility indifference hedging |
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