Optimal investment in derivative securities (Q5942932)

The authors consider the problem of the optimal investment in a risky asset and some derivatives. The case of underlying asset price process which is a pure jump Lévy process is considered. The martingale representation theorem, description of self-financial strategies and budget constraint are given. The finite and infinite horizon consumption and investment problems are considered. Explicit solutions for the case of HARA (hyperbolic absolute risk aversion) utility are presented.