Governmental Guarantee Option Value of Utility Indifference Pricing
作者: Liu Hui
刊名: International Journal of Civil Engineering and Environmental Science, 2014, Vol.2 (1), pp.12-22
来源数据库: Cayley Nielson Press
原始语种摘要: Government guarantee is one of important measures to attract investment in infrastructure for developing countries.Most of existing researches are based on the hypothesis of complete market, but this paper has broken traditional risk neutral hypothesis. Considering investors' risk attitude in incomplete market,the utility indifference pricing has been introduced to the option value of minimum traffic guarantee in highway.This paper constructs the European option pricing model in government guarantee and offers partial differential equation for utility indifference pricing point.Meanwhile, through the analysis of partial differential equation for utility indifference pricing under CARA utility functions,the pricing method given by this paper has been proved consistent with traditional B-S...
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  • pricing 定价
  • indifference 不关心
  • option 选择
  • market 市场
  • neutral 中性的
  • utility 有用
  • guarantee 担保
  • hypothesis 假说
  • minimum 极小
  • equation 方程