Continuous-Time Portfolio Selection and Option Pricing under Risk-Minimization Criterion in an Incomplete Market
Joint Authors
Zhu, Wenli
Huang, Jiexiang
Li, Shuang
Ruan, Xinfeng
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-10-30
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
We study option pricing with risk-minimization criterion in an incomplete market where the dynamics of the risky underlying asset are governed by a jump diffusion equation.
We obtain the Radon-Nikodym derivative in the minimal martingale measure and a partial integrodifferential equation (PIDE) of European call option.
In a special case, we get the exact solution for European call option by Fourier transformation methods.
Finally, we employ the pricing kernel to calculate the optimal portfolio selection by martingale methods.
American Psychological Association (APA)
Ruan, Xinfeng& Zhu, Wenli& Huang, Jiexiang& Li, Shuang. 2013. Continuous-Time Portfolio Selection and Option Pricing under Risk-Minimization Criterion in an Incomplete Market. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-11.
https://search.emarefa.net/detail/BIM-451934
Modern Language Association (MLA)
Ruan, Xinfeng…[et al.]. Continuous-Time Portfolio Selection and Option Pricing under Risk-Minimization Criterion in an Incomplete Market. Journal of Applied Mathematics No. 2013 (2013), pp.1-11.
https://search.emarefa.net/detail/BIM-451934
American Medical Association (AMA)
Ruan, Xinfeng& Zhu, Wenli& Huang, Jiexiang& Li, Shuang. Continuous-Time Portfolio Selection and Option Pricing under Risk-Minimization Criterion in an Incomplete Market. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-11.
https://search.emarefa.net/detail/BIM-451934
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-451934
