A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS

DOI10.1142/S0219024900000024zbMath1153.91457arXivcond-mat/9810257MaRDI QIDQ3523540

Ola Hammarlid, Roberto Baviera, Maurizio Serva, Erik Aurell, Angelo Vulpiani

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9810257

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Dynamical systems in optimization and economics (37N40)

Related Items (8)

Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Option pricing and perfect hedging on correlated stocks ⋮ GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS ⋮ FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES ⋮ Volatility-induced financial growth ⋮ Pricing exotic options in a path integral approach ⋮ No Arbitrage and the Growth Optimal Portfolio ⋮ An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data

Cites Work

• A Mathematical Theory of Communication
• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• On Minimizing Risk in Incomplete Markets Option Pricing Models
• An Explicit Formula for Option Pricing in Discrete Incomplete Markets
• Optimal Investment Strategy for Risky Assets
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• Variance-Optimal Hedging in Discrete Time
• Option pricing: A simplified approach
• Indeterminacy of the Moment Problem for Intermittent Turbulence
• Investment policies for expanding businesses optimal in a long‐run sense
• The Monte Carlo Method

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