Characterisation of optimal dual measures via distortion

DOI10.1007/s10203-006-0062-4zbMath1131.60063MaRDI QIDQ882491

Michael Monoyios

Publication date: 24 May 2007

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:6f35cccf-c5d8-4148-a0e7-d717eea99f51

zbMATH Keywords

optimal martingale measure; distortion solution; dual stochastic control problem; utility maximization problem

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91B26: Auctions, bargaining, bidding and selling, and other market models

Related Items

Indifference Pricing and Hedging for Volatility Derivatives, Exponential utility indifference valuation in two Brownian settings with stochastic correlation

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