Optimal geometric mean returns of stocks and their options

DOI10.1155/2012/498050zbMath1282.91351OpenAlexW2149646024WikidataQ58689565 ScholiaQ58689565MaRDI QIDQ1929676

Guoyi Zhang

Publication date: 9 January 2013

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/498050

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• Growth Versus Security in Dynamic Investment Analysis
• A Strategy Which Maximizes the Geometric Mean Return on Portfolio Investments
• Option pricing: A simplified approach

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