Dynamic indifference pricing via the G-expectation

2015/03/30 by Qian Lin, Lin, Qian
Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Monetary Policy and Economic Impact #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1503.08628

openalex publication_date 2015/03/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

Citations

• G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty

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