Black portfolio analysis for model of evolution of the price of shares with generalized Poisson processes and for Samuelson models

zbMATH Open1164.91363MaRDI QIDQ5430271FDOQ5430271

Authors: T. V. Zmykhova, O. S. Hkudolij 

Publication date: 16 December 2007

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zbMATH Keywords

generalized Poisson processesrisky assets

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Portfolio theory (91G10)

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• A false sense of wealth
• Statistical estimates of components of a financial portfolio in the Black-Scholes model
• Hedge portfolios and the black-scholes equations

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