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

doi:10.1080/02331930802355283

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	Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
	Li, Ping 1; Wang, Shou-Yang2
	2008
发表期刊	OPTIMIZATION
ISSN	0233-1934
卷号	57 期号:5 页码:691-703
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.
关键词	martingale measure derivative pricing optimal consumption incomplete market utility maximization
DOI	10.1080/02331930802355283
语种	英语
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
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000260770800008
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/6817
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.