This paper deals with the minimal entropy martingale measure and utility indifference pricing concerning a stochastic volatility model. 摘要本文研究了隨機波動(dòng)率模型的最小熵鞅測度和效用無(wú)差別定價(jià)。
The classical dynamic programming approach leads to the partial differential equation that satisfies utility indifference pricing, and obtains the indifference hedging strategy. 利用動(dòng)態(tài)規劃方法，得到了效用無(wú)差別定價(jià)滿(mǎn)足的偏微分方程以及效用無(wú)差別套期保值策略。
