Characterisation of optimal dual measures via distortion
We derive representations for optimal martingale measures in a two-factor Markovian model, by seeking ramifications of a distortion power solution (Zariphopoulou (2001)) of the primal utility maximisation problem, for the dual problem. This provides an alternative to existing methods in the literatu...
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Format: | Journal article |
Language: | English |
Published: |
2006
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