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Growth optimal portfolio for unobservable Markov-modulated markets (Q1753737)

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scientific article; zbMATH DE number 6875976
Language Label Description Also known as
English
Growth optimal portfolio for unobservable Markov-modulated markets
scientific article; zbMATH DE number 6875976

    Statements

    title
    Growth optimal portfolio for unobservable Markov-modulated markets (English)
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    author
    I. Venkat Appal Raju
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    N. Selvaraju
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    publication date
    29 May 2018
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    review text
    Summary: The paper studies the benchmark approach for pricing and hedging in incomplete markets where the investor has to filter the incomplete information. We consider a jump diffusion Markov modulated market model and derive the Growth Optimal Portfolio (GOP), by using the stochastic control method. Using GOP, we price and hedge European options where the existence of the equivalent martingale measure is not necessary.
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    zbMATH Keywords
    financial markets
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    jump diffusions
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    contingent claims
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    pricing
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    hedging
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    GOP
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    growth optimal portfolio
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    stochastic control
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60J75
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    91G20
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    93E20
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    zbMATH DE Number
    6875976
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    OpenAlex ID
    W2078272497
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