Complication and Optimization in Additive Markets

Language: English

Published by LAP LAMBERT Academic Publishing Mrz 2010, 2010

3838353781 / 9783838353784

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -In this study, the geometric Additive market models are considered. In general, these market models are incomplete, that means: the perfect replication of derivatives, in the usual sense, is not possible. In this study, it is shown that the market can be completed by new artificial assets which are called power-jump assets based on the power-jump processes of the underlying Additive process. Then, the hedging portfolio for claims whose payoff function depends on the prices of the stock and the power-jump assets at maturity is derived. In addition to the previous completion strategy, it is also shown that, using a static hedging formula, the market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity. What is more, the portfolio optimization problem is considered in the enlarged market. The optimization problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. For particular choices of the equivalent martingale measure, it is shown that the optimal portfolio consists only of bonds and stocks. 84 pp. Englisch.…

Seller Inventory # 9783838353784

Title
Complication and Optimization in Additive Markets
Author
Onur Polat
Publisher
LAP LAMBERT Academic Publishing Mrz 2010
Publication year
2010
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3838353781
ISBN 13
9783838353784
Item weight
143 grams
Dimensions
220x150x6 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

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AbeBooks seller since January 11, 2012

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BuchWeltWeit Ludwig Meier e.K.

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