Forward Exponential Performances: Pricing and Optimal Risk Sharing
Portfolio Management
2016-11-26 v3 Pricing of Securities
Abstract
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is given to the comparison between the forward exponential and the backward exponential utility indifference valuation. In addition, we construct the problem of optimal risk sharing in this forward setting and solve it when the agents' forward performance criteria are exponential.
Keywords
Cite
@article{arxiv.1109.3908,
title = {Forward Exponential Performances: Pricing and Optimal Risk Sharing},
author = {Michail Anthropelos},
journal= {arXiv preprint arXiv:1109.3908},
year = {2016}
}
Comments
29 pages