journal6 ›› 2005, Vol. 26 ›› Issue (3): 79-82.

• Mathematics • Previous Articles     Next Articles

Quantitative Relation Between Utility Indifference Pricing and the Investor’s Risk Attitude

  

  1. (1.School of Statistics,Hunan University,Changsha 410079,China;2.School of Mathematics and Econometrics,Hunan University,Changsha 410082,China)
  • Online:2005-07-15 Published:2012-09-22

Abstract: Using the theory of the utility indifference pricing,based on one special utility function,the author obtains the utility indifference pricing via the math model of foundation and solution and presents the quantitative relation between the utility indifference pricing and the risk attitude of the investor.

Key words: utility indifference pricing, risk attitude, asset pricing

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