Optimal Geometric Mean Returns of Stocks and Their Options
Author
Source
International Journal of Stochastic Analysis
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-12-24
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
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 simulation study reveals the same result for the continuous option pricing model.
American Psychological Association (APA)
Zhang, Guoyi. 2012. Optimal Geometric Mean Returns of Stocks and Their Options. International Journal of Stochastic Analysis،Vol. 2012, no. 2012, pp.1-8.
https://search.emarefa.net/detail/BIM-476452
Modern Language Association (MLA)
Zhang, Guoyi. Optimal Geometric Mean Returns of Stocks and Their Options. International Journal of Stochastic Analysis No. 2012 (2012), pp.1-8.
https://search.emarefa.net/detail/BIM-476452
American Medical Association (AMA)
Zhang, Guoyi. Optimal Geometric Mean Returns of Stocks and Their Options. International Journal of Stochastic Analysis. 2012. Vol. 2012, no. 2012, pp.1-8.
https://search.emarefa.net/detail/BIM-476452
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-476452