Risk-based indifference pricing under a stochastic volatility model

MaRDI QIDQ2790522zbMATH OpenFDO

Authors Robert J. Elliott, Tak Kuen Siu

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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• The returns and risks of investment portfolio in a financial market
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• Risk indifference pricing of functional claims of the yield surface in the presence of partial information
• Convex risk measures for good deal bounds
• Risk indifference pricing in jump diffusion markets
• Disappointment aversion premium principle
• Pricing participating policies under the Meixner process and stochastic volatility
• Indifference prices and implied volatilities
• Effect of volatility clustering on indifference pricing of options by convex risk measures
• scientific article; zbMATH DE number 1867095 (Why is no real title available?)
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• PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
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• Risk-indifference pricing of American-style contingent claims

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