Indifference Pricing for Power Utilities
本文档由 纺织服装文库 分享于2010-11-09 02:12
We study utility indierence pricing of claim streams with intertem- poral consumption and power (CRRA) utilities. We derive explicit for- mulas for the derivatives of the utility indierence price with respect to claims and wealth. The simple structure of these formulas is a reec- tion of surprising operator identities for the derivatives of the optimal consumpti..
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