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- W2895850765 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 Levy 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 Levy process model. In Sect. 14.3 we give an overview of other martingale measure approaches to contingent claim pricing." @default.
- W2895850765 created "2018-10-26" @default.
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- W2895850765 date "2018-01-01" @default.
- W2895850765 modified "2023-09-27" @default.
- W2895850765 title "Optimal Growth Portfolios and Option Pricing" @default.
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- W2895850765 doi "https://doi.org/10.1007/978-981-13-1657-9_14" @default.
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