dc.date.accessioned | 2013-03-12T08:16:14Z | |
dc.date.available | 2013-03-12T08:16:14Z | |
dc.date.issued | 2004 | en_US |
dc.date.submitted | 2009-11-26 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10598 | |
dc.description.abstract | We use the dynamic programming approach to derive an equation for the utility indifference price of Markovian claims in a stochastic volatility model proposed by Barndorff-Nielsen and Shephard (2001). The pricing equation is a Black & Scholes equation with a nonlinear integral term involving the risk preferences of the investor. Passing to the zero risk aversion limit, we present a Feynman-Kac representation of the minimal entropy price. The density of the minimal entropy martingale measure is found via the Girsanov transform of the Brownian motion and a subordinator process controlling the jumps in the volatility model. The density is represented by the logarithm of the value function for an investor with exponential utility and no claim issued, and a Feynman-Kac representation of this function is provided. We calculate the function explicitly in a special case, and show some properties in the general case. Selve paperet i pdf-format er attached. | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2004). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | INDIFFERENCE PRICING AND THE MINIMAL ENTROPY MARTINGALE MEASURE IN A STOCHASTIC VOLATILITY MODEL WITH JUMPS | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2009-11-26 | en_US |
dc.rights.holder | Copyright 2004 The Author(s) | |
dc.creator.author | Benth, Fred Espen | en_US |
dc.creator.author | Meyer-Brandis, Thilo | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.urn | URN:NBN:no-23646 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 97397 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10598/1/pm03-04.pdf | |