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http://dx.doi.org/10.12941/jksiam.2010.14.4.211

MULTI-TYPE FINANCIAL ASSET MODELS FOR PORTFOLIO CONSTRUCTION  

Oh, Jae-Pill (DEPARTMENT OF MATHEMATICS, KANGWEON NATIONAL UNIVERSITY)
Publication Information
Journal of the Korean Society for Industrial and Applied Mathematics / v.14, no.4, 2010 , pp. 211-224 More about this Journal
Abstract
We define some asset models which are useful for portfolio construction in various terms of time. Our asset models are geometric jump-diffusions defined by the solutions of stochastic differential equations which are decomposed by various terms of time basically. We also can study pricing and hedging strategy of options in our models roughly.
Keywords
asset model; jump-diffusion process; SDE; portfolio;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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