Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
From MaRDI portal
Publication:5505153
DOI10.1080/02331930802355283zbMath1152.91532MaRDI QIDQ5505153
Publication date: 23 January 2009
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331930802355283
incomplete market; utility maximization; martingale measure; derivative pricing; optimal consumption
60G42: Martingales with discrete parameter
60G40: Stopping times; optimal stopping problems; gambling theory
Cites Work
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Optimization of consumption with labor income
- Optimal investment and consumption with transaction costs
- Minimal martingale measures for discrete-time incomplete financial markets
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- A Discrete Time Equivalent Martingale Measure
- Optimal investment in derivative securities