Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing (Q5505153)
From MaRDI portal
scientific article; zbMATH DE number 5497301
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing |
scientific article; zbMATH DE number 5497301 |
Statements
Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing (English)
0 references
23 January 2009
0 references
martingale measure
0 references
derivative pricing
0 references
optimal consumption
0 references
incomplete market
0 references
utility maximization
0 references
