EconPapers    
Economics at your fingertips  
 

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

Lioudmila Vostrikova
Additional contact information
Lioudmila Vostrikova: LAREMA - LAREMA - Laboratoire Angevin de REcherche en MAthématiques - UA - Université d'Angers - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

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)
New Economics Papers: this item is included in nep-upt
Date: 2016-10-26
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01388047
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-01388047/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hal:wpaper:hal-01388047

Access Statistics for this paper

More papers in Working Papers from HAL
Series data maintained by CCSD ().

 
Page updated 2017-04-18
Handle: RePEc:hal:wpaper:hal-01388047