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Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing

文献类型：期刊论文

作者Li, Ping1; Wang, Shou-Yang2
刊名OPTIMIZATION
出版日期2008
卷号57期号:5页码:691-703
关键词martingale measure derivative pricing optimal consumption incomplete market utility maximization
ISSN号0233-1934
DOI10.1080/02331930802355283
英文摘要In this article we discuss the problem of selecting an optimal equivalent martingale measure for discrete-time incomplete financial markets under the criteria of maximizing the expected total utility of consumption. For a given utility function, we choose a class of equivalent martingale measures, corresponding to each of which we construct a random variable. We show that if one of these random variables is an admissible consumption process, then this consumption is optimal, and the martingale measure associated with this consumption process is also optimal. For a specific market model with hyperbolic absolute risk aversion (HARA) utility functions, we work out the optimal consumption and optimal martingale measure explicitly, and further use this optimal martingale measure to give the fair price for any derivative.
资助项目National Natural Science Foundation of China[70371006] ; National Natural Science Foundation of China[70501003] ; National Basic Research Program of China[2007CB814306]
WOS研究方向Operations Research & Management Science ; Mathematics
语种英语
WOS记录号WOS:000260770800008
出版者TAYLOR & FRANCIS LTD
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/6816]  
专题系统科学研究所
通讯作者Li, Ping
作者单位1.Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714		 Li, Ping,Wang, Shou-Yang. Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing[J]. OPTIMIZATION,2008,57(5):691-703.
APA Li, Ping,&Wang, Shou-Yang.(2008).Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing.OPTIMIZATION,57(5),691-703.
MLA Li, Ping,et al."Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing".OPTIMIZATION 57.5(2008):691-703.

入库方式： OAI收割

来源：数学与系统科学研究院

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