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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク indifference price ： ウィキペディア英語版 indifference price In finance, indifference pricing is a method of pricing financial securities with regard to a utility function. The indifference price is also known as the reservation price or private valuation. In particular, the indifference price is the price at which an agent would have the same expected utility level by exercising a financial transaction as by not doing so (with optimal trading otherwise). Typically the indifference price is a pricing range (a bid-ask spread) for a specific agent; this price range is an example of good-deal bounds. ==Mathematics== Given a utility function $u$ and a claim $C\_T$ with known payoffs at some terminal time $T$. If we let the function $V:\; \backslash mathbb\; \backslash times\; \backslash mathbb\; \backslash to\; \backslash mathbb$ be defined by : $V(x,k)\; =\; \backslash sup\_\; \backslash mathbb\backslash left(+\; k\; C\_T\backslash right)\backslash right)$, where $x$ is the initial endowment, $\backslash mathcal(x)$ is the set of all self-financing portfolios at time $T$ starting with endowment $x$, and $k$ is the number of the claim to be purchased (or sold). Then the indifference bid price $v^b(k)$ for $k$ units of $C\_T$ is the solution of $V(x\; -\; v^b(k),k)\; =\; V(x,0)$ and the indifference ask price $v^a(k)$ is the solution of $V(x\; +\; v^a(k),-k)\; =\; V(x,0)$. The indifference price bound is the range $\backslash left()$. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「indifference price」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.