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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24942完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李存修 | |
| dc.contributor.author | Hung-Chou Tsai | en |
| dc.contributor.author | 蔡宏洲 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:58:47Z | - |
| dc.date.copyright | 2007-08-28 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-08-08 | |
| dc.identifier.citation | References
1.Becherer, D. (2003) Rational hedging and valuation of integrated risks under constant absolute risk aversion, Insurance: Mathematics and Economics 33, 1-28. 2.Csiszar, I. (1975) I-divergence geometry of probability distributions and minimization problems, Annals of Probability 3, 146-148. 3.Delbaen, F., Grandits, P., Rheinlander, T., Samperi, D., Schweizer, M., Stricker, C. (2002) Exponential hedging and entropic penalties, Mathematical Finance 12, 99-123. 4.Follmer, H., Schweizer, M. (1991) Hedging of contingent claims under incomplete information; in Applied Stochastic Analysis, Stochastic Monographs, Vol. 5, eds. M. H. Davis, and R. J. Elliott. London: Gordon and Breach. 5.Frittelli, M. (2000) The minimal entropy martingale measure and the valuation problem in incomplete markets, Mathematical Finance 10, 39-52. 6.Fujiwara, T., Miyahara, Y. (2003) The minimal entropy martingale measures for geometric Levy processes, Finance and Stochastics 7, 509-531. 7.Henderson, V., Hobson, D. (2004) Utility indifference pricing: An overview, Preprint. 8.Hodges, S., Neuberger, A. (1989) Optimal Replication of Contingent Claims under Transaction costs, Review of Futures Markets 8, 222-239. 9.Ihara, S. (1993) Information Theory. Singapore: World Scientific. 10.Mania, M., Schweizer, M. (2005) Dynamic exponential utility indifference valuation, Annals of Applied Probability 15, 2113-2143. 11.Miyahara, Y. (1996) Canonical martingale measures of incomplete asset market, Probability Theory and Mathematical Statistics: Proceedings of the Seven Japan-Russia Symposium, Tokyo, World Scientific, 343-352. 12.Musiela, M., Zariphopoulou, T. (2004a) An example of indifference prices under exponential preferences, Finance and Stochastics 8, 229-239. 13.Musiela, M., Zariphopoulou, T. (2004b) A valuation algorithm for indifference prices in incomplete markets, Finance and Stochastics 8, 399-414. 14.Rouge, R., EL Karoui, N. (2000) Pricing via utility maximization and entropy, Mathematical Finance 10, 259-276. 15.Schachermayer, W. ((2001) Optimal Investment in Incomplete Markets When Wealth May Become Negative, Annals of Applied Probability 11, 694-734. 16.Stricker, C. (2004) Indifference pricing with exponential utility, in Progress in Probability 58, 323-328. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24942 | - |
| dc.description.abstract | The main purpose of this dissertation is to investigate the problems of contingent claim valuation in incomplete markets, especially focused on the pricing measures for Levy processes. This dissertation is constituted by three essays and each essay is self-contained.
Essay 1 reviews some known results in an incomplete market in the case of exponential utility function. We also discuss the notion of utility indifference price for a contingent claim and investigate the asymptotic behavior of utility indifference price. Essay 2 uses the Esscher transform to construct a martingale measure in the framework of geometric Levy process. By means of a relation between exponential Levy process and stochastic exponential of Levy process, we have shown that a Levy process is a martingale if and only if its stochastic exponential is a martingale. Using this result, we also define a necessary condition for the Esscher measure to be the minimal entropy martingale measure. Essay 3 formulates an approach to computing the density process of the minimal entropy martingale measure for a jump-diffusion model and the stochastic volatility model by Barndorff-Nielsen and Shepherd. In addition, we also calculate the explicit forms of the minimal entropy martingale measure for those two models. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:58:47Z (GMT). No. of bitstreams: 1 ntu-96-D90723010-1.pdf: 694911 bytes, checksum: eda3cc0c566334e3fbaa0f3ae7f9ac76 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | Contents
Introduction 1 Essay 1. Minimal entropy martingale measure and utility indifference price 4 1. Introduction 4 2. The notion of minimal entropy martingale measure 5 3. The dual formulation on an exponential utility function 11 4. Expressions for utility indifference prices 14 5. Conclusions 22 References 23 Essay 2. The pricing measure for geometric Levy processes under incomplete financial markets 25 1. Introduction 25 2. Levy processes and exponential Levy models 28 2.1 Levy process 28 2.2 Exponential Levy process and stochastic exponential of Levy process 32 3. Martingale measures for Levy processes 35 3.1 Girsanov theorem and Esscher measure 35 3.2 The Esscher measure for compound return process: Exponential Levy process 40 3.3 The Esscher measure for simple return process: Linear Levy process 44 4. Minimal entropy martingale measure for exponential Levy process 51 5. Conclusions 54 Appendix 55 References 58 Essay 3. The minimal entropy martingale measure for jump-diffusion models 60 1. Introduction 60 2. The jump-diffusion model 61 3. The minimal entropy martingale measure for jump-diffusion model 64 4. The minimal entropy martingale measure for the BN-S stochastic volatility model 72 5. Conclusions 79 Appendix 80 References 82 | |
| dc.language.iso | en | |
| dc.subject | 平賭 | zh_TW |
| dc.subject | 效用無差異價格 | zh_TW |
| dc.subject | 跳躍-擴散模型 | zh_TW |
| dc.subject | Levy process | en |
| dc.subject | utility indifference price | en |
| dc.subject | minimal entropy martingale measure | en |
| dc.subject | jump-diffusion model | en |
| dc.subject | Esscher measure | en |
| dc.title | 不完全市場之下或有請求權評價之研究 | zh_TW |
| dc.title | Three Essays on Contingent Claim Valuation in Incomplete Markets | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 博士 | |
| dc.contributor.coadvisor | 何淮中 | |
| dc.contributor.oralexamcommittee | 許順吉,廖四郎,張傳章 | |
| dc.subject.keyword | 效用無差異價格,跳躍-擴散模型,平賭, | zh_TW |
| dc.subject.keyword | Esscher measure,jump-diffusion model,Levy process,minimal entropy martingale measure,utility indifference price, | en |
| dc.relation.page | 83 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2007-08-09 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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