Martingale Pricing Applied to Dynamic Portfolio Optimization and Real Options
نویسنده
چکیده
We consider some further applications of martingale pricing to problems in financial engineering. In particular, we will show how dynamic portfolio optimization problems in complete markets may be solved using martingale pricing methods. We will see, as a result, how the problems of security pricing and portfolio optimization are very closely related. We then introduce real options and discuss some of the issues and solution methods that arise when tackling these problems.
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