效用无差异定价的伪线性定价规则
Pseudo Linear Pricing Rule for Utility Indifference Valuation
摘要：
本文考虑了多维非交易资产模型的指数效用无差别定价，给出了效用无差别价格的两个线性近似。关键的工具是一个概率表示的效用无差别价格的解决方案的一个功能微分方程，这是被称为\emph{pseudo linear pricing rule}。我们还提供了一个替代推导的效用无差别价格的二次Bundle表示。
英文摘要：
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation, which is termed \emph{pseudo linear pricing rule}. We also provide an alternative derivation of the quadratic BSDE representation for the utility indifference price.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
