Dynamic indifference pricing via the G-expectation
Mathematical Finance
2020-09-15 v2 Probability
Abstract
We study the dynamic indifference pricing with ambiguity preferences. For this, we introduce the dynamic expected utility with ambiguity via the nonlinear expectation--G-expectation, introduced by Peng (2007). We also study the risk aversion and certainty equivalent for the agents with ambiguity. We obtain the dynamic consistency of indifference pricing with ambiguity preferences. Finally, we obtain comparative statics.
Keywords
Cite
@article{arxiv.1503.08628,
title = {Dynamic indifference pricing via the G-expectation},
author = {Qian Lin},
journal= {arXiv preprint arXiv:1503.08628},
year = {2020}
}
Comments
This paper has been withdrawn by the authors due to some error in some statements