湖南大学学报（自然科学版）2011，Vol.38Issue(9)：87-92,6.
非完备市场欧式期权无差别定价研究
Indifference Pricing of European Option in Incomplete Market
摘要
Abstract
The problem of optimal consumption/investment and option pricing for maximizing the expected consumption utility in an incomplete market was studied. Under the assumption that the underlying asset is non- traded and follows a mean-reverting process, we obtained the optimal consumption and investment strategy* together with a partial differential equation for the European option pricing by stochastic dynamic programming and consumption utility indifference pricing principle. Numerical examples were presented. The results indicate that risk aversion will decrease option price, which changes with time but also depends on the mean reverting level under such model, I. E. According to two different cases the option price may increase or decrease with time respectively.关键词
消费效用无差别定价/几何均值回复过程/非完备市场/特质风险Key words
consumption utility indifference pricing/ geometric mean reversion process/ incomplete market/ idiosyncratic risk分类
数理科学引用本文复制引用
罗琰,杨招军,张维..非完备市场欧式期权无差别定价研究[J].湖南大学学报（自然科学版）,2011,38(9):87-92,6.基金项目
国家白然科学基金资助项目(70971037) （70971037）
江苏省高校青蓝工程项目 （）
南京审计学院青年课题资助项目(NSK2009/C06) （NSK2009/C06）
