无差异价格和隐含波动-经管之家官网！

英文标题：
《Indifference prices and implied volatilities》
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作者：
Matthew Lorig
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最新提交年份：
2015
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英文摘要：
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for both the buyer\'s and seller\'s indifference price. For European calls on a traded asset, we translate indifference prices into an explicit approximation of the buyer\'s and seller\'s implied volatility surface. For European claims on a non-traded asset, we establish rigorous error bounds for the indifference price approximation. Finally, we implement our indifference price and implied volatility approximations in two examples.
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中文摘要：
我们考虑一个一般的局部随机波动模型和一个具有指数效用的投资者。对于欧式未定权益，其收益可能取决于交易或非交易资产，我们推导了买方和卖方无差异价格的显式近似值。对于交易资产的欧洲看涨期权，我们将无差异价格转化为买方和卖方隐含波动率表面的显式近似值。对于非交易资产的欧洲债权，我们为无差异价格近似建立了严格的误差界限。最后，我们在两个例子中实现了无差异价格和隐含波动率近似。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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