Fri, 01 Jun 2012
14:15 -
15:00
DH 1st floor SR
Utility-Based Pricing in the Large Position, Nearly Complete Limit
Prof Scott Robertosn
(Pittsburgh)
Abstract
In this talk, approximations to utility indifference prices for a contingent claim in the large position size limit are provided. Results are valid for general utility functions and semi-martingale models. It is
shown that as the position size approaches infinity, all utility functions with the same rate of decay for large negative wealths yield the same price. Practically, this means an investor should price like an exponential investor. In a sizeable class of diffusion models, the large position limit is seen to arise naturally in conjunction with the limit of a complete model and hence approximations are most appropriate in this setting.
Thu, 16 Oct 2008
16:30
16:30
DH 1st floor SR
Tue, 02 Oct 2007
12:00
12:00
L3
Fri, 20 Oct 2006
12:00
12:00
L1