Market completion with derivative securities
نویسندگان
چکیده
منابع مشابه
Optimal investment with derivative securities
We study the problem of portfolio optimization in an incomplete market using derivatives as well as basic assets such as stocks. In such markets, an investor may want to use derivatives, as a proxy for trading volatility, for instance, but they should be traded statically, or relatively infrequently, compared with assumed continuous trading of stocks, because of the much larger transaction cost...
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(a) The link between risk-neutral expectations and PDE’s. We have discussed two apparently different approaches to the valuation of a European option: (i) take the discounted risk-neutral expected payoff, or (ii) solve the Black-Scholes PDE. Let’s show now that these two approaches are equivalent. First, consider options on a forward price. We saw long ago that in the discrete time setting, the...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2016
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-016-0317-z