Utility Maximisation for Exponential Levy Models with option and information processes
Papers from arXiv.org
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.
New Economics Papers: this item is included in nep-upt
Date: 2015-09, Revised 2017-07
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Published in Theory Probab. Appl. 61-1 (2017), pp. 107-128
Downloads: (external link)
http://arxiv.org/pdf/1509.02727 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1509.02727
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().