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A numerical study of the utility-indifference approach for pricing American options

机译:美国国际美联储效用漠不关心方法的数值研究

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Utility-indifference approach is a useful approach to be adopted for pricing financial derivatives in an incomplete market and is an ongoing hot research topic in quantitative finance. One interesting question associated with this approach is whether or not it renders to the same option prices, degenerately, when the market becomes infinitesimally close to a complete market. The answer for such a question has been provided for European-style options as there is a well-documented theoretical proof in Davis et al. (1993). However, a theoretical proof for the case of pricing American-style options is unavailable at this stage and the answer for this question must be at least numerically confirmed before it can be comfortably used to price American-style options in incomplete markets. The contribution of this paper is to provide such a numerical verification. (C) 2020 Elsevier Ltd. All rights reserved.
机译:公用事业漠不关心的方法是在不完整的市场中定价金融衍生品的一种有用的方法,是一项在数量融资中的持续热门研究课题。与此方法相关的一个有趣的问题是,当市场无限地靠近完整的市场时,它是否呈现到同样的选择价格。已经为欧洲风格的选择提供了此类问题的答案,因为Davis等人在戴维斯的理论证明。 (1993)。但是,在这个阶段,在这个阶段不可用定价美国风格选择的理论证明,并且必须至少在数字证实之前进行数字证实,以便在舒适地用于在不完整的市场中价格选择美式选项。本文的贡献是提供此类数值验证。 (c)2020 elestvier有限公司保留所有权利。

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