Growth optimal portfolio for unobservable Markov-modulated markets (Q1753737)
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scientific article; zbMATH DE number 6875976
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| English | Growth optimal portfolio for unobservable Markov-modulated markets |
scientific article; zbMATH DE number 6875976 |
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Growth optimal portfolio for unobservable Markov-modulated markets (English)
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29 May 2018
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Summary: The paper studies the benchmark approach for pricing and hedging in incomplete markets where the investor has to filter the incomplete information. We consider a jump diffusion Markov modulated market model and derive the Growth Optimal Portfolio (GOP), by using the stochastic control method. Using GOP, we price and hedge European options where the existence of the equivalent martingale measure is not necessary.
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financial markets
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jump diffusions
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contingent claims
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pricing
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hedging
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GOP
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growth optimal portfolio
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stochastic control
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0.8106766939163208
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0.7872210144996643
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0.7839329838752747
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0.7829214334487915
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0.7785786390304565
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