THE CONTINUOUS-TIME MARKET MODEL

Ralf Korn
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Ralf Korn: Johannes Gutenberg-Universität Mainz, Germany

Chapter 2 in Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time, 1997, pp 15-35 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The Security Price ProcessesThe Wealth Process and the Actions of a Small InvestorCompleteness of the Market Model and the Growth-Optimum PortfolioOption Pricing: A Short IntroductionConvergence of Discrete Markets to Continuous Markets

Date: 1997
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