Utility Indifference Pricing in an Incomplete Market Model with Incomplete Information
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References listed on IDEAS
- Hayashi, Fumio & Inoue, Tohru, 1991.
"The Relation between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms,"
Econometric Society, vol. 59(3), pages 731-753, May.
- Fumio Hayashi & Tohru Inoue, 1990. "The Relation Between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms," NBER Working Papers 3326, National Bureau of Economic Research, Inc.
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- Gunther Leobacher & Philip Ngare, 2014. "Utility indifference pricing of derivatives written on industrial loss indexes," Papers 1404.0879, arXiv.org.
More about this item
KeywordsIncomplete market; Incomplete information; Utility indifference price; Bayesian updating formula; Super/sub solution for PDEs.;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-05 (All new papers)
- NEP-KNM-2008-01-05 (Knowledge Management & Knowledge Economy)
- NEP-UPT-2008-01-05 (Utility Models & Prospect Theory)
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