Extreme points and optimal measures
نویسندگان
چکیده
منابع مشابه
DERIVATIVES PRICING VIA p-OPTIMAL MARTINGALE MEASURES: SOME EXTREME CASES
In an incomplete financial market in which the dynamics of the asset prices is driven by a d-dimensional continuous semimartingale X, we consider the problem of pricing European contingent claims embedded in a power utility framework. This problem reduces to identifying the p-optimal martingale measure, which can be given in terms of the solution to a semimartingale backward equation. We use th...
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ژورنال
عنوان ژورنال: Linear Algebra and its Applications
سال: 2009
ISSN: 0024-3795
DOI: 10.1016/j.laa.2008.12.028