【摘要】 研究一类随机收益流效用无差别定价问题;在指数效用函数假设下,通过求解HJB(Hamilton-Jacobi-Bellmen)方程,得到了随机收益流效用价格的显示解;结果显示,随机收益流的效用价格随自身平均回报率的增加而上升,随投资者风险厌恶程度的提高而降低,这与人们的直观是一致的。更多还原

【Abstract】 In this paper,we study a problem of utility indifference pricing of stochastic income flows.Based on the assumption of exponential utility functions,we obtained the explicit solution to utility prices of the stochastic income flows by solving Hamilton-Jacobi-Bellmen equation.Results indicate that the utility prices increase with the increase of the average return rates of stochastic earnings flows but decrease with the rise of the risk aversion of investors,which are consistent with the intuitions.更多还原