IDEAS home Printed from https://ideas.repec.org/a/wsi/jfexxx/v01y2014i04ns2345768614500354.html
   My bibliography  Save this article

Dynamic CRRA-utility indifference value in generalized Cox process model

Author

Listed:
  • Kun Tian

    (Department of Applied Mathematics, Shanghai Finance University, Shanghai 200240, P. R. China)

  • Dewen Xiong

    (Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200240, P. R. China)

  • Zhongxing Ye

    (Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200240, P. R. China;
    School of Business Information Management, Shanghai University of International Business and Economics, Shanghai 201620, P. R. China)

Abstract

We give the explicit form of the survival process of the default time ${\tilde \tau}$ modeled by the generalized Cox process model. Then we derive the dynamic CRRA-utility indifference value (UIV) Ct of the ??-investors with respect to the ??-investors and describe the dynamics of Ct by two BSDEs. Finally, we give an example in which we can give the explicit expression of Ct. For the generalized Cox process model we typically have that Ct ≥ 1 in contrast to the standard Cox process model.

Suggested Citation

  • Kun Tian & Dewen Xiong & Zhongxing Ye, 2014. "Dynamic CRRA-utility indifference value in generalized Cox process model," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 1-29.
    • Handle: RePEc:wsi:jfexxx:v:01:y:2014:i:04:n:s2345768614500354
    DOI: 10.1142/S2345768614500354
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2345768614500354
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S2345768614500354?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:jfexxx:v:01:y:2014:i:04:n:s2345768614500354. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/jfe/jfe.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.