Option pricing in incomplete markets

doi:10.1016/j.aml.2013.05.002

科研成果详情

发表状态	已发表Published
题名	Option pricing in incomplete markets
作者	Zhang, Qiang3 ; Han, Jiguang 1,2,3
发表日期	2013
发表期刊	Applied Mathematics Letters
ISSN/eISSN	0893-9659
卷号	26 期号:10 页码:975-978
摘要	Expected utility maximization is a very useful approach for pricing options in an incomplete market. The results from this approach contain many important features observed by practitioners. However, under this approach, the option prices are determined by a set of coupled nonlinear partial differential equations in high dimensions. Thus, it represents numerous significant difficulties in both theoretical analysis and numerical computations. In this paper, we present accurate approximate solutions for this set of equations. © 2013 Elsevier Ltd. All rights reserved.
关键词	Exponential utility function Heston model Incomplete markets Option pricing Stochastic volatility
DOI	10.1016/j.aml.2013.05.002
URL	查看来源
收录类别	SCIE ; SSCI
语种	英语English
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000322099600001
原始文献类型	Article
引用统计	被引频次：4[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/2202
专题	个人在本单位外知识产出
通讯作者	Zhang, Qiang
作者单位	1.USTC-CityU Joint Advanced Research Center, Suzhou, China 2.Department of Statistics and Finance, University of Science and Technology of China, China 3.Department of Mathematics, City University of Hong Kong, Kowloon, Tat Chee Avenue 83, Hong Kong
推荐引用方式 GB/T 7714	Zhang, Qiang,Han, Jiguang. Option pricing in incomplete markets[J]. Applied Mathematics Letters, 2013, 26(10): 975-978.
APA	Zhang, Qiang, & Han, Jiguang. (2013). Option pricing in incomplete markets. Applied Mathematics Letters, 26(10), 975-978.
MLA	Zhang, Qiang,et al."Option pricing in incomplete markets". Applied Mathematics Letters 26.10(2013): 975-978.