https://github.com/aurelienperez/fair-valuation-illiquid-assets
Utility indifference pricing in incomplete markets.
https://github.com/aurelienperez/fair-valuation-illiquid-assets
actuarial-science hamilton-jacobi-bellman incomplete-markets quantitative-finance utility-theory
Last synced: 4 months ago
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Utility indifference pricing in incomplete markets.
- Host: GitHub
- URL: https://github.com/aurelienperez/fair-valuation-illiquid-assets
- Owner: aurelienperez
- Created: 2025-03-18T20:50:29.000Z (about 1 year ago)
- Default Branch: main
- Last Pushed: 2025-03-18T20:57:38.000Z (about 1 year ago)
- Last Synced: 2025-07-23T00:44:10.700Z (11 months ago)
- Topics: actuarial-science, hamilton-jacobi-bellman, incomplete-markets, quantitative-finance, utility-theory
- Homepage:
- Size: 3.19 MB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
Awesome Lists containing this project
README
# 📘 Valuation of Employee Stock Options in Unlisted Companies (IFRS 2)
This repository contains my **actuarial thesis** on the fair valuation of employee stock options in unlisted companies, in compliance with the **IFRS 2** standard. The thesis explores the impact of illiquidity on valuation and introduces an alternative approach based on **utility indifference pricing**.
📄 **Thesis (📌 in French) :** [Download PDF](Actuarial_Thesis.pdf)
📝 **Keywords:** Employee stock ownership, unlisted companies, illiquidity, IFRS 2, utility indifference pricing, Lambert-Monte-Carlo.
## 📌 Abstract
Employee stock options in unlisted companies pose a significant valuation challenge due to the lack of liquidity. Standard models such as **Black-Scholes** fail to account for this illiquidity, leading to theoretical inconsistencies.
This thesis introduces a **utility-based pricing framework** to estimate an **indifference price**, leveraging **nested Monte Carlo simulations**. Numerical experiments compare this approach with classical valuation methods.