This paper studies the pricing of contingent claims of American style,using indifference pricing by fully dynamic convex risk measures.We provide a general definition of risk-indifference prices for buyers and sellers...This paper studies the pricing of contingent claims of American style,using indifference pricing by fully dynamic convex risk measures.We provide a general definition of risk-indifference prices for buyers and sellers in continuous time,in a setting where buyer and seller have potentially different information,and show that these definitions are consistent with no-arbitrage principles.Specifying to stochastic volatility models,we characterize indifference prices via solutions of Backward Stochastic Differential Equations reflected at Backward Stochastic Differential Equations and show that this characterization provides a basis for the implementation of numerical methods using deep learning.展开更多
文摘This paper studies the pricing of contingent claims of American style,using indifference pricing by fully dynamic convex risk measures.We provide a general definition of risk-indifference prices for buyers and sellers in continuous time,in a setting where buyer and seller have potentially different information,and show that these definitions are consistent with no-arbitrage principles.Specifying to stochastic volatility models,we characterize indifference prices via solutions of Backward Stochastic Differential Equations reflected at Backward Stochastic Differential Equations and show that this characterization provides a basis for the implementation of numerical methods using deep learning.
