论文标题
关于效用无效定价的注释，并延迟信息
A Note on Utility Indifference Pricing with Delayed Information
论文作者
论文摘要
我们考虑使用信息延迟的单身模型，其中投资决策只能基于$ h> 0 $ $ time单位的观察。为香草选择研究了公用事业的冷漠价格，我们计算了它们的非平凡缩放限制，因为当风险避免风险缩放时，延迟的延迟限制为$ a/h $，对于某些常数$ a $。使用[7]中的技术，我们为此设置开发离散的二元性，并显示[9]引入的Martingale属性的放松形式如何导致缩放限制以二次惩罚的波动性控制问题形式。
We consider the Bachelier model with information delay where investment decisions can be based only on observations from $H>0$ time units before. Utility indifference prices are studied for vanilla options and we compute their non-trivial scaling limit for vanishing delay when risk aversion is scaled liked $A/H$ for some constant $A$. Using techniques from [7], we develop discrete-time duality for this setting and show how the relaxed form of martingale property introduced by [9] results in the scaling limit taking the form of a volatility control problem with quadratic penalty.
