Dynamic Derivative Strategies
This paper studies the optimal investment strategy of an investor who can access not only the bond and the stock markets, but also the derivatives market. We consider the investment situation where, in addition to the usual diffusive price shocks, the stock market experiences sudden price jumps and...
| Main Authors: | , |
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| Format: | Working Paper |
| Language: | en_US |
| Published: |
2003
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| Online Access: | http://hdl.handle.net/1721.1/3548 |