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Dynamic indifference pricing via the G-e...

Lin, Qian...

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Dynamic indifference pricing via the G-expectation by Lin, Qian ( Author )

Content Provider	Lemonjar Open Access
Publisher	N.A
Publication Date	01-01-2015
Summary	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.
ISBN	-
Item Type	Article
File Type	pdf
File Size	36.88 KB
Language	English
Subjects	-
Unlimited	MYR 0.00
Total read	-
URL	http://arxiv.org/abs/1503.08628

Citation

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AMA 11th EditionReferences

Lin, Qian. Dynamic indifference pricing via the G-expectation. N.A. January 01, 2015. Accessed October 02, 2025. https://online.provdatabase.com/cite/18469

APA 7th EditionReferences

Lin, Qian. (2015). Dynamic indifference pricing via the G-expectation. N.A. https://online.provdatabase.com/cite/18469

Chicago 17th EditionReferences

Lin, Qian. Dynamic indifference pricing via the G-expectation. N.A. 2015. https://online.provdatabase.com/cite/18469

HarvardReferences

Lin, Qian. (2015). Dynamic indifference pricing via the G-expectation. [Online]. N.A. Available from: https://online.provdatabase.com/cite/18469. (Accessed 02 October 2025).

Harvard AustraliaReferences

Lin, Qian, 2015, Dynamic indifference pricing via the G-expectation, N.A, viewed 02 October 2025, <https://online.provdatabase.com/cite/18469>

MLA 9th EditionWorks Cited

Lin, Qian. Dynamic indifference pricing via the G-expectation. N.A, 2015. PROV Database, https://online.provdatabase.com/cite/18469.

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