英文标题：
《Pseudo Linear Pricing Rule for Utility Indifference Valuation》
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作者：
Vicky Henderson, Gechun Liang
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最新提交年份：
2014
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英文摘要：
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation, which is termed \\emph{pseudo linear pricing rule}. We also provide an alternative derivation of the quadratic BSDE representation for the utility indifference price.
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中文摘要：
本文考虑了一类多维非交易资产模型的指数效用无差异定价，给出了效用无差异价格的两种线性近似。关键工具是通过函数微分方程的解，对效用无差异价格进行概率表示，这被称为\\emph{伪线性定价规则}。我们还提供了效用无差异价格的二次BSDE表示的另一种推导方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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