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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書目詳細資料
主要作者: Monoyios, M
格式: Journal article
出版: 2006