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Showing 1 to 3 of 3 for “"utility 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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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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PhD thesis on liquidity of bond market
… utilising 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.