Characterisation of optimal dual measures via distortion

Characterisation of optimal dual measures via distortion

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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 literatur...

書誌詳細
第一著者:	Monoyios, M
フォーマット:	Journal article
出版事項:	2006

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