English, Article edition: AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION TAKUJI ARAI

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Physical Description
  • article
Language
  • English

Edition details

Title
  • AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
Author
  • TAKUJI ARAI
Physical Description
  • article
Notes
  • We propose, in this paper, a new valuation method for contingent claims, which approximates to the exponential utility indifference valuation. In particular, we treat both ask and bid valuations. In the definition of the exponential utility indifference valuation, we require strong integrability for the underlying contingent claim. The new valuation in this paper succeeds in reducing it by using a kind of power functions instead of the exponential function. Furthermore, we shall investigate some basic properties and an asymptotic behavior of the new valuation.
  • Incomplete markets, indifference value, p-optimal martingale measure, Reverse hölder inequality
  • RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:475-503
Language
  • English
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