Utility Indifference Pricing and Hedging of O-U Processes

摘要：

The paper presents the indifference pricing and hedging of exponential utility function under O-U processes model. With the dynamic programming approach, the utility indifference pricing and hedging strategy is obtained.

关键词： O-U Processes Utility Indifference Pricing Utility Indifference Hedging

作者: Wang Jianping Zhang Xiangwei Chen Xiangcheng

作者单位: Department of Statistics, Henan University of Finance and Economics,Zhengzhou , P.R.China, 450002;De Department of Mathematics, Zhengzhou Normal College, Zhengzhou, P.R.China, 450002 Department of Statistics, Henan University of Finance and Economics,Zhengzhou , P.R.China, 450002,

会议类型: 国际会议

会议名称: The 15th International Conference on Industrial Engineering and Engineering Management(IE&EM2008)(第十五届工业工程与工程管理国际学术会议暨中国机械工程学会第11次工业工程年会)

会议地点: 郑州

会议语种:英文

在线出版日期: 2008-09-20（万方平台首次上网日期，不代表论文的发表时间）