Forward Exponential Performances: Pricing and Optimal Risk Sharing

Details Forward Exponential Performances: Pricing and Optimal Risk Sharing Forward Exponential Performances: Pricing and Optimal Risk Sharing

2011-09-18

arxiv.org/abs/1109.3908v2

Economy

Quantitative Finance

Pricing of Securities

28 pages

Scientific paper

In a Markovian stochastic volatility model, we consider ?nancial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indi?fference valuation is ?first addressed and a number of properties are proved and discussed. Special attention is given to the comparison between the forward exponential and the backward exponential utility indiff?erence valuation. In addition, we construct the problem of optimal risk sharing in this forward setting and solve it when the agents' forward performance criteria are exponential.

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