Forward Exponential Performances: Pricing and Optimal Risk Sharing

Economy – Quantitative Finance – Pricing of Securities

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

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.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Forward Exponential Performances: Pricing and Optimal Risk Sharing does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Forward Exponential Performances: Pricing and Optimal Risk Sharing, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Forward Exponential Performances: Pricing and Optimal Risk Sharing will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-96057

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.