A Note on Indifference Pricing with Dynamic Quasiconcave Preferences
| Author | : Flavia Giammarino |
| Publisher | : |
| Total Pages | : 10 |
| Release | : 2015 |
| ISBN-10 | : OCLC:1306343567 |
| ISBN-13 | : |
| Rating | : 4/5 (67 Downloads) |
Book Synopsis A Note on Indifference Pricing with Dynamic Quasiconcave Preferences by : Flavia Giammarino
Download or read book A Note on Indifference Pricing with Dynamic Quasiconcave Preferences written by Flavia Giammarino and published by . This book was released on 2015 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the problem of indifference pricing in a discrete-time setting where the decision-maker's preferences are represented by a general monotone increasing and quasiconcave dynamic preference functional. We show that the indifference price is a dynamic convex risk measure and we introduce as an example the dynamic robust entropic risk measure.
