Risk-indifference Pricing of American-style Contingent Claims
Abstrak
This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-indifference prices for buyers and sellers in continuous time, in a setting where buyer and seller have potentially different information, and show that these definitions are consistent with no-arbitrage principles. Specifying to stochastic volatility models, we characterize indifference prices via solutions of Backward Stochastic Differential Equations reflected at Backward Stochastic Differential Equations and show that this characterization provides a basis for the implementation of numerical methods using deep learning.
Penulis (4)
Rohini Kumar
Frederick "Forrest" Miller
Hussein Nasralah
Stephan Sturm
Akses Cepat
- Tahun Terbit
- 2024
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓