Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 5 of 5 for “"Indifference pricing"”.
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Utility Indifference Pricing of Credit Instruments
… risk. In this thesis we address these issues by pricing credit instruments using utility indifference pricing, a method that takes into account the investor's personal risk aversion and which is not affected by the lack of liquidity. Through stochastic optimal control methods, we use indifference …
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Utility-based valuation for underwater employee stock options
… basic concepts and terminology in stock-option pricing. Then, we review the valuation by replication process both in the binomial model and the Black-Scholes model. These two methods apply to valuation in the complete-market setting. Then we introduce the concept of utility function and utility …
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Option Pricing in Non-Competitive Markets
In the classic option pricing theory, the market is assumed to be competitive. The relaxation of the competitive market assumption introduces two features: liquidity cost and feedback effects. In our study, investors in non-competitive markets are divided into two categories: small investors and …
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Ambiguity Aversion in Commodity Markets
… to protect themselves, and utilize a robust indifference pricing framework for valuation and hedging. Most exotic financial options written on commodities are valued by discretizing continuous-time and state models. Thus, in the first part of this thesis, we study the impact of ambiguity …
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PhD thesis on liquidity of bond market
… the concepts of stochastic dominance, utility indifference pricing, and some specific assumptions on asset value and order arrival rate, the equilibrium prices and bid-ask spreads can be quantified.