Optimal Geometric Mean Returns of Stocks and Their Options
نویسندگان
چکیده
منابع مشابه
Optimal Geometric Mean Returns of Stocks and Their Options
The optimal geometric mean return is an important property of an asset. As a derivative of the underlying asset, the option also has this property. In this paper, we show that the optimal geometric mean returns of a stock and its option are the same from Kelly criterion. It is proved by using binomial option pricing model and continuous stochastic models with self-financing assumption. A simula...
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ژورنال
عنوان ژورنال: International Journal of Stochastic Analysis
سال: 2012
ISSN: 2090-3332,2090-3340
DOI: 10.1155/2012/498050