Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
We deal with pricing and hedging for a payment process. We investigate a Black-Scholes financial market with stochastic coefficients and a stream of liabilities with claims occurring at random times, continuously over the duration of the contract and at the terminal time. The random times of the claims are generated by a random measure with a stochastic intensity of jumps. The claims are written on the asset traded in the financial market and on the non-tradeable source of risk driven by the random measure. Our framework allows us to consider very general streams of liabilities which may arise in financial and insurance applications. We solve the exponential utility optimization problem for our payment process and we derive the indifference price and hedging strategy. We apply backward stochastic differential equations.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
211-229
Opis fizyczny
Daty
wydano
2012
Twórcy
autor
- Institute of Econometrics, Division of Probabilistic Methods, Warsaw School of Economics, Al. Niepodległości 162, 02-554 Warszawa, Poland
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
DOI
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-am39-2-7