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Utility Maximisation for Exponential Levy Models with option and information processes

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  • Lioudmila Vostrikova

Abstract

We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an option of European type on another risky asset which is correlated with the first one. Under some hypothesis on Levy processes, we give the expressions of information processes figured in maximum utility formula. As applications, we consider Black-Scholes models with correlated Brownian Motions, and also Black-Scholes models with jump part represented by Poisson process.

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  • Lioudmila Vostrikova, 2015. "Utility Maximisation for Exponential Levy Models with option and information processes," Papers 1509.02727, arXiv.org, revised Jul 2017.
    • Handle: RePEc:arx:papers:1509.02727
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    1. Thomas Goll & Ludger Rüschendorf, 2001. "Minimax and minimal distance martingale measures and their relationship to portfolio optimization," Finance and Stochastics, Springer, vol. 5(4), pages 557-581.
    2. Marek Musiela & Thaleia Zariphopoulou, 2004. "An example of indifference prices under exponential preferences," Finance and Stochastics, Springer, vol. 8(2), pages 229-239, May.
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    Cited by:

    1. Harin, Alexander, 2020. "Behavioral sciences and auto-transformations of functions," MPRA Paper 99286, University Library of Munich, Germany.
    2. Harin, Alexander, 2019. "Behavioral sciences and auto-transformations. Introduction," MPRA Paper 97344, University Library of Munich, Germany.

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