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摘要翻译：
考虑了具有跨期违约风险的多维非交易资产模型的指数效用无差异定价，并给出了效用无差异定价的半群逼近。其关键工具是分裂法，基于Barles-Souganidis单调格式证明了它的收敛性，并基于Krylov的抖系数技术推导了它的收敛速度。我们运用我们的方法研究了不完全市场中衍生品的交易对手风险。
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英文标题：
《A Multidimensional Exponential Utility Indifference Pricing Model with
Applications to Counterparty Risk》
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作者：
Vicky Henderson, Gechun Liang
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最新提交年份：
2015
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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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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英文摘要：
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is the splitting method, whose convergence is proved based on the Barles-Souganidis monotone scheme, and the convergence rate is derived based on Krylov's shaking the coefficients technique. We apply our methodology to study the counterparty risk of derivatives in incomplete markets.
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PDF链接：
https://arxiv.org/pdf/1111.3856
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