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 literatur...
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| Formáid: | Journal article |
| Foilsithe / Cruthaithe: |
2006
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Characterisation of optimal dual measures via distortion
Foilsithe / Cruthaithe 2006
Journal article