Dynamic indifference pricing via the G-expectation

Qian Lin

Papers from arXiv.org

Abstract: We study the dynamic indifference pricing with ambiguity preferences. For this, we introduce the dynamic expected utility with ambiguity via the nonlinear expectation--G-expectation, introduced by Peng (2007). We also study the risk aversion and certainty equivalent for the agents with ambiguity. We obtain the dynamic consistency of indifference pricing with ambiguity preferences. Finally, we obtain comparative statics.

Date: 2015-03, Revised 2020-09
New Economics Papers: this item is included in nep-upt
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