Contingent claim pricing, martingale measure and optimal consumption for discrete-time incomplete markets

被引：0

作者：

Li, P ^{[1
]}

Huang, GD ^{[1
]}

Wang, SY ^{[1
]}

机构：

[1] Beihang Univ, Beijing 100083, Peoples R China

来源：

ICIM' 2004: PROCEEDINGS OF THE SEVENTH INTERNATIONAL CONFERENCE ON INDUSTRIAL MANAGEMENT | 2004年

关键词：

contingent claim pricing; martingale measure; optimal consumption; incomplete market; utility maximization;

D O I：

暂无

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this paper we obtain the optimal equivalent martingale measure for discrete-time incomplete financial markets under the criteria of maximizing the expected total utility of consumption, and then use this martingale measure to give the fair price for any contingent claim. We also give two theorems that relate martingale measure to optimal consumption.

引用

页码：509 / 514

页数：6

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