随机收益流的效用无差别定价  

Utility Indifference Pricing of Stochastic Income Flows

作　　者：罗琰 覃展辉 

机构地区：[1]南京审计学院数学与统计学院 [2]管理学院,江苏南京210075

出　　处：《重庆工商大学学报（自然科学版）》2012年第10期49-55,共7页Journal of Chongqing Technology and Business University:Natural Science Edition

基　　金：国家自然科学基金资助项目(70971037)

摘　　要：研究一类随机收益流效用无差别定价问题;在指数效用函数假设下,通过求解HJB(Hamilton-Jacobi-Bellmen)方程,得到了随机收益流效用价格的显示解;结果显示,随机收益流的效用价格随自身平均回报率的增加而上升,随投资者风险厌恶程度的提高而降低,这与人们的直观是一致的。In this paper, we study a problem of utility indifference pricing of stochastic income flows. Based on the assumption of exponential utility functions, we obtained the explicit solution to utility prices of the stochastic income flows by solving Hamihon-Jacobi-Bellmen equation. Results indicate that the utility prices increase with the increase of the average return rates of stochastic earnings flows but decrease with the rise of the risk aversion of investors ,which are consistent with the intuitions.

关 键 词：随机收益流 效用无差别定价 Hamilton-Jacobi-Bellmen方程 

分 类 号：O142[理学—数学]