Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market
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.
- Continuous-time portfolio selection with loss aversion in an incomplete market
- Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
- On Minimizing Risk in Incomplete Markets Option Pricing Models
- Continuous-time optimal portfolio under a value-at-risk constraint
- Continuous time portfolio selection under conditional capital at risk
- Continuous-time mean-risk portfolio selection
- Continuous-time portfolio selection under ambiguity
- Continuous-time optimal portfolio selection with liability
- Portfolio optimization in discontinuous markets under incomplete information
- Optimal portfolio of continuous-time mean-variance model with futures and options
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