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Optimal investment in derivative securities |
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| Authors: | Peter Carr Xing Jin Dilip B. Madan |
| Affiliation: | (1) Banc of America Securities, 9 West 57th Street, 40th floor, New York, N.Y. 10019, USA (e-mail: carrp@bofasecurities.com), US;(2) Robert H. Smith School of Business, Van Munching Hall, University of Maryland, College Park, MD. 20742, USA (e-mail: xjin@rhsmith.umd.edu; dbm@rhsmith.umd.edu), US |
| Abstract: | |
| Keywords: | : Lévy process market completeness stochastic duality option pricing variance gamma model |
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