Category

share

An Advanced Levy Market Model

An Advanced Levy Market Model

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
Delivery in :  10-12 Business Days

 
₹ 3,651

Availability: Out of stock

 

Delivery :

5% Cashback on all Orders paid using MobiKwik Wallet T&C

Free Krispy Kreme Voucher on all Orders paid using UltraCash Wallet T&C
Product Out of Stock Subscription

(Notify me when this product is back in stock)

  • Product Description
 

In this study, general geometric Levy market models are considered. Since these models are, in general, incomplete, that is, all contingent claims cannot be replicated by a self-financing portfolio consisting of investments in a risk-free bond and in the stock, it is suggested that the market should be enlarged by artificial assets based on the power-jump processes of the underlying Levy process. Then it is shown that the enlarged market is complete and the explicit hedging portfolios for claims whose payoff function depends on the prices of the stock and the artificial assets at maturity are derived. Furthermore, the portfolio optimization problem is considered in the enlarged market. It is shown that for particular choices of the equivalent martingale measure in the market, the optimal portfolio only consists of bonds and stocks. This corresponds to completing the market with additional assets in such a way that they are superfluous in the sense that the terminal expected utility is not improved by including these assets in the portfolio. This book, therefore, should be useful to postgraduates and researchers in mathematical finance.

Product Specifications
SKU :COC32189
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-29
0 Review(s)