DocumentCode
2382433
Title
On the relation between risk sensitive control and indifference pricing
Author
Hernández-Hernández, Daniel
Author_Institution
Centro de Investig. en Mat., CIMAT, Guanajuato
fYear
2008
fDate
11-13 June 2008
Firstpage
1013
Lastpage
1016
Abstract
In this paper the connection between the indifference price and risk sensitive control is explored for stochastic volatility models. It is proved that the indifference price of a European option can be written as the difference of the value functions of two different stochastic optimal control problems. The quasilinear PDEs involved in the solution of this problem are written and under suitable conditions a verification theorem is given.
Keywords
optimal control; pricing; risk management; stochastic processes; European option; indifference pricing; risk sensitive control; stochastic optimal control problems; stochastic volatility models; Bonding; Discrete wavelet transforms; Economic indicators; Filtration; Helium; Optimal control; Pricing; Security; Stochastic processes; Yttrium;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference, 2008
Conference_Location
Seattle, WA
ISSN
0743-1619
Print_ISBN
978-1-4244-2078-0
Electronic_ISBN
0743-1619
Type
conf
DOI
10.1109/ACC.2008.4586624
Filename
4586624
Link To Document