INDIFFERENCE PRICING OF THE EXPONENTIAL LEVY MODELS

Anastasia Ellanskaya (1)

1 LAREMA - Laboratoire Angevin de Recherche en Mathématiques

We consider the geometric Levy processes and we study the utility indi erence pricing approach for the European type option. Describing the investor's risk preferences by the socalled HARA-utilities we de ne the formulas for their value functions on the initially enlarged ltration and the equations for the indi erence prices.

Mots clés: Utility maximisation; utility indifference price; f-divergence minimal martingale measure; exponential Levy model

Domaines: Probabilités [math.PR]

Anastasia Ellanskaya. INDIFFERENCE PRICING OF THE EXPONENTIAL LEVY MODELS. 2013. ⟨hal-00831102⟩