Abstract
Expected utility maximization is a very useful approach for pricing options in an incomplete market. The results from this approach contain many important features observed by practitioners. However, under this approach, the option prices are determined by a set of coupled nonlinear partial differential equations in high dimensions. Thus, it represents numerous significant difficulties in both theoretical analysis and numerical computations. In this paper, we present accurate approximate solutions for this set of equations. © 2013 Elsevier Ltd. All rights reserved.
| Original language | English |
|---|---|
| Pages (from-to) | 975-978 |
| Journal | Applied Mathematics Letters |
| Volume | 26 |
| Issue number | 10 |
| DOIs | |
| Publication status | Published - Oct 2013 |
Research Keywords
- Exponential utility function
- Heston model
- Incomplete markets
- Option pricing
- Stochastic volatility
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