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dc.contributor.author
Frei, Christoph
dc.contributor.author
Schweizer, Martin
dc.date.accessioned
2017-06-08T19:57:47Z
dc.date.available
2017-06-08T19:57:47Z
dc.date.issued
2008
dc.identifier.issn
1424-0459
dc.identifier.uri
http://hdl.handle.net/20.500.11850/10605
dc.description.abstract
We study the exponential utility indifference valuation of a contingent claim H when asset prices are given by a general semimartingale S. Under mild assumptions on H and S, we prove that a no-arbitrage type condition is fulfilled if and only if H has a certain representation. In this case, the indifference value can be written in terms of processes from that representation, which is useful in two ways. Firstly, it yields an interpolation expression for the indifference value which generalizes the explicit formulas known for Brownian models. Secondly, we show that the indifference value process is the first component of the unique solution (in a suitable class of processes) of a backward stochastic differential equation. Under additional assumptions, the other components of this solution are BMO-martingales for the minimal entropy martingale measure. This generalizes recent results by Becherer [2] and Mania and Schweizer [19].
dc.language.iso
en
dc.publisher
National Centre of Competence in Research
dc.subject
exponential utility
dc.subject
indifference valuation
dc.subject
minimal entropy martingale measure
dc.subject
BSDE
dc.subject
BMO-martingales
dc.subject
fundamental entropy representation (FER)
dc.title
Exponential utility indifference valuation in a general semimartingale model
dc.type
Working Paper
ethz.journal.title
Working paper series
ethz.journal.volume
499
ethz.size
38 p.
ethz.notes
First version August 2008, Current version August 2008.
ethz.publication.place
Zurich
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.identifier.url
http://www.nccr-finrisk.uzh.ch/media/pdf/wp/WP499_D1.pdf
ethz.date.deposited
2017-06-08T19:57:54Z
ethz.source
ECIT
ethz.identifier.importid
imp59364bf3a738829383
ethz.ecitpid
pub:21647
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-14T16:27:30Z
ethz.rosetta.lastUpdated
2018-10-01T05:54:47Z
ethz.rosetta.versionExported
true
ethz.COinS
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