Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing (Q5505153)
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scientific article; zbMATH DE number 5497301
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| 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)
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23 January 2009
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martingale measure
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derivative pricing
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optimal consumption
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incomplete market
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utility maximization
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0.7954670190811157
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0.7917898297309875
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0.7847115993499756
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0.7800158262252808
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