Optimal control of option portfolios and applications
نویسندگان
چکیده
We present an expected utility maximisation framework for optimally controlling a portfolio of options. By combining the replication approach to option pricing with ideas of the martingale approach to (stock) portfolio optimisation we arrive at an explicit solution of the option portfolio problem. Its characteristics are illustrated by some speciic examples. As an application, we calculate an optimal option and consumption strategy for an investor who is obliged to hold a stock position until the time horizon. We would like to thank the anonymous referee for many useful remarks and for bringing the work of Cvitanic to our mind.
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