Optimal geometric mean returns of stocks and their options (Q1929676): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1155/2012/498050 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2149646024 / rank | |||
Normal rank | |||
Revision as of 02:03, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal geometric mean returns of stocks and their options |
scientific article |
Statements
Optimal geometric mean returns of stocks and their options (English)
0 references
9 January 2013
0 references
Summary: The optimal geometric mean return is an important property of an asset. As a derivative of the underlying asset, the option also has this property. In this paper, we show that the optimal geometric mean returns of a stock and its option are the same from Kelly criterion. It is proved by using binomial option pricing model and continuous stochastic models with self-financing assumption. A simulation study reveals the same result for the continuous option pricing model.
0 references
