Derivative pricing based on local utility maximization
Derivative pricing based on local utility maximization
复制标题
基于局部效用最大化的衍生品定价
作者：
J. Kallsen
摘要。本文讨论了一般不完全市场模型中或有债权估值的一种新方法。我们确定中性的衍生品价格，如果投资者最大化他们的当地效用，如果衍生品的需求和供应是平衡的。我们还介绍了或有索赔的敏感性过程。该过程量化了中性衍生品价格的可靠性，并可用于构建价格边界。此外，它允许校准市场模型，以便与最初观察到的衍生品报价一致。
Abstract. This paper discusses a new approach to contingent claim valuation in general incomplete market models. We determine the neutral derivative price which occurs if investors maximize their local utility and if derivative demand and supply are balanced. We also introduce the sensitivity process of a contingent claim. This process quantifies the reliability of the neutral derivative price and it can be used to construct price bounds. Moreover, it allows to calibrate market models in order to be consistent with initially observed derivative quotations.