Optimal investment in derivative securities (Q5942932)
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scientific article; zbMATH DE number 1646508
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| English | Optimal investment in derivative securities |
scientific article; zbMATH DE number 1646508 |
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Optimal investment in derivative securities (English)
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16 September 2001
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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.
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Lévy process
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market completeness
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stochastic duality
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option pricing
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variance gamma model
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0.8721513152122498
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0.8467413783073425
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0.8462278246879578
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0.8345313668251038
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0.8294530510902405
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