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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur: Monoyios, M
Fformat: Journal article
Cyhoeddwyd: 2006