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Complication and Optimization in Additive Markets by Onur Polat (Paperback, 2010)

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In this study, the geometric Additive market models are considered. In general, these market models are incomplete, that means: the perfect replication of derivatives, in the usual sense, is not possible. In this study, it is shown that the market can be completed by new artificial assets which are called power-jump assets based on the power-jump processes of the underlying Additive process. Then, the hedging portfolio for claims whose payoff function depends on the prices of the stock and the power-jump assets at maturity is derived. In addition to the previous completion strategy, it is also shown that, using a static hedging formula, the market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity. What is more, the portfolio optimization problem is considered in the enlarged market. The optimization problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. For particular choices of the equivalent martingale measure, it is shown that the optimal portfolio consists only of bonds and stocks.

Product Identifiers

Publisher
Lap Lambert Academic Publishing
ISBN-13
9783838353784
eBay Product ID (ePID)
105286364

Product Key Features

Author
Onur Polat
Publication Name
Complication and Optimization in Additive Markets
Format
Paperback
Language
English
Subject
Business
Publication Year
2010
Type
Textbook
Number of Pages
84 Pages

Dimensions

Item Height
229mm
Item Width
152mm
Item Weight
136g

Additional Product Features

Title_Author
Onur Polat
Country/Region of Manufacture
Germany

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