摘要
在这篇文章中我们给出了离散时间不完全金融市场中增长最优投资组合的显式表达式,然后用计价单位投资组合法给出了期权的定价.
In this paper we give an explicit representation of the growth optimal portfolio for a discrete-time incomplete financial market and then give the price of an option using the numeraire portfolio approach.
出处
《数学进展》
CSCD
北大核心
2002年第6期537-542,共6页
Advances in Mathematics（China）
基金
The work of Yan was supported by the National Natural Science Foundation of China, grant 79790130
and the 973 project on forward problems of mathematics at the core, the Ministry of Science and Technology.
