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...

Полное описание

Библиографические подробности
Главный автор:	Monoyios, M
Формат:	Journal article
Опубликовано:	2006

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