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Optimal Growth Portfolios and Option Pricing

  • Jia-An Yan
Chapter
Part of the Universitext book series (UTX)

Abstract

In this chapter we introduce the “optimal growth strategy” and the associated “optimal growth portfolios” in markets of semimartingale models. We work out expressions of “optimal growth portfolios” in a geometric Lévy process model and a jump-diffusion-like process model. In Sect. 14.2, we present the “numeraire portfolio approach” to contingent claim pricing in a geometric Lévy process model. In Sect. 14.3 we give an overview of other martingale measure approaches to contingent claim pricing.

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Copyright information

© Springer Nature Singapore Pte Ltd. and Science Press 2018

Authors and Affiliations

  • Jia-An Yan
    • 1
  1. 1.Academy of Mathematics and System ScienceChineses Academy of SciencesBeijingChina

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