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用等效用原理对马氏链市场的ul生存合约定价
肖宇谷; 丁文兴
2006
Source Publication应用数学学报
ISSN0254-3079
Volume29Issue:4Pages:587
Abstract利用效用无差异原理,根据动态规划原则,最大化财富的期望指数效用,在马氏链驱动的市场下,导出HJB方程,给出unit-linkd(UL)生存合约在简单Poisson市场下的保费方程,并给出它的数值模拟.这个结果推广了Brown运动驱动的市场下的保费方程,使得UL生存合约在联接到纯跳的市场时,可以用效用无差异原理定价.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/38088
Collection中国科学院数学与系统科学研究院
Affiliation中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
肖宇谷,丁文兴. 用等效用原理对马氏链市场的ul生存合约定价[J]. 应用数学学报,2006,29(4):587.
APA 肖宇谷,&丁文兴.(2006).用等效用原理对马氏链市场的ul生存合约定价.应用数学学报,29(4),587.
MLA 肖宇谷,et al."用等效用原理对马氏链市场的ul生存合约定价".应用数学学报 29.4(2006):587.
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