کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1708152 1012814 2013 4 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Option pricing in incomplete markets
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مکانیک محاسباتی
پیش نمایش صفحه اول مقاله
Option pricing in incomplete markets
چکیده انگلیسی

Expected utility maximization is a very useful approach for pricing options in an incomplete market. The results from this approach contain many important features observed by practitioners. However, under this approach, the option prices are determined by a set of coupled nonlinear partial differential equations in high dimensions. Thus, it represents numerous significant difficulties in both theoretical analysis and numerical computations. In this paper, we present accurate approximate solutions for this set of equations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics Letters - Volume 26, Issue 10, October 2013, Pages 975–978
نویسندگان
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