Utility Indifference Pricing with Delayed Information

This talk will be given by Prof. Peter BANK (Technical University-Berlin)

We consider the Bachelier model with information delay where investment decisions can be based only on observations from $H>0$ time units before. Exponential utility indifference prices are studied for vanilla options and we compute their non-trivial scaling limit for vanishing delay when risk aversion is scaled liked $A/H$ for some constant $A$. We develop discrete-time duality for this setting and show how the relaxed form of martingale property introduced by Kabanov and Stricker (2006) results in the scaling limit taking the form of a volatility control problem with quadratic penalty. 

This talk is based on joint work with Yan Dolinsky.

If you are interested to join this talk, please contact Dr Miryana Grigorova at m.r.grigorova@leeds.ac.uk for the Zoom details.