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...
| Hoofdauteur: | |
|---|---|
| Formaat: | Journal article |
| Gepubliceerd in: |
2006
|