EXPECTED UTILITY MAXIMISATION FOR EXPONENTIAL LEVY MODELS WITH OPTION AND INFORMATION PROCESSES

Lioudmila Vostrikova
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Lioudmila Vostrikova: LAREMA - Laboratoire Angevin de Recherche en Mathématiques - UA - Université d'Angers - CNRS - Centre National de la Recherche Scientifique

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Abstract: We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an option of European type on another risky asset which is correlated with the first one. Under some hypothesis on Levy processes, we give the expressions of information processes figured in maximum utility formula. As applications, we consider Black-Scholes models with correlated Brownian Motions, and also Black-Scholes models with jump part represented by Poisson process.

Keywords: utility maximisation; exponential Levy models; f-divergence minimal martingale measure; dual approach; entropy; Kullback-Leibler information; information processes (search for similar items in EconPapers)
Date: 2016-10-26
New Economics Papers: this item is included in nep-upt
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