CONTINGENT CLAIM PRICING, MARTINGALE MEASURE AND OPTIMAL CONSUMPTION FOR DISCRETE-TIME INCOMPLETE MARKETS

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.