Indifference Pricing in the Single Period Binomial with Complete Market Model  

作　　者：Jinyang Sun Yicheng Hong 

机构地区：[1]College of Science,Yanbian University,Yanji 133002,China

出　　处：《数学计算（中英文版）》2018年第1期6-23,共18页Mathematical Computation

摘　　要：Binomial no-arbitrage price have a method is the traditional approach for derivative pricing,which is,the complete model,which makes possible the perfect replication in the market.Risk neutral pricing is an appropriate method of asset pricing in a complete market.We have discussed an incomplete market,a non-transaction asset that produces incompleteness of the market.An effective method of asset pricing in incomplete markets is the undifferentiated pricing method.This technique was firstly introduced by Bernoulli in(1738)the sense of gambling,lottery and their expected return.It is used to command investors'preferences and better returns the results they expect.In addition,we also discuss the utility function,which is the core element of the undifferentiated pricing.We also studied some important behavior preferences of agents,and injected exponential effect of risk aversion in the model,so that the model was nonlinear in the process of claim settlement.

关 键 词：COMPLETE Market Model OPTION PRICING Nonlinear PRICING Formula Risk Natural Measure EXPECTED Utility and INDIFFERENCE PRICING 

分 类 号：O1[理学—数学]