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ArticleCharacterisation of optimal dual measures via distortion

Michael Monoyios2006

Article2006

Characterisation of optimal dual measures via distortion

Michael Monoyios

26 citations·0/0 files stored·Decisions in Economics and Finance

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1981Martingales and stochastic integrals in the theory of continuous trading 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market 1990Hedging of contingent claims under incomplete information 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets 2010A Guided Tour through Quadratic Hedging Approaches

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2010Minimal Martingale Measure

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Year2006

Typearticle

Published2006-11-01

VenueDecisions in Economics and Finance

ISSN-L1127-1035

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10203-006-0062-4

openalex_workW2116404121

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