Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market (Q1789776)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market |
scientific article |
Statements
Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market (English)
0 references
10 October 2018
0 references
Summary: We study option pricing with risk-minimization criterion in an incomplete market where the dynamics of the risky underlying asset are governed by a jump diffusion equation. We obtain the Radon-Nikodym derivative in the minimal martingale measure and a partial integrodifferential equation (PIDE) of European call option. In a special case, we get the exact solution for European call option by Fourier transformation methods. Finally, we employ the pricing kernel to calculate the optimal portfolio selection by martingale methods.
0 references