{"product_id":"complication-and-optimization-in-additive-markets-von-onur-polat","title":"Complication and Optimization in Additive Markets","description":"\u003cp\u003eIn this study, the geometric Additive market models  are considered. In general, these market models are  incomplete, that means: the perfect replication of  derivatives, in the usual sense, is not possible. In  this study,  it is shown that the market can be  completed by new artificial assets which are  called ¿power-jump assets¿ based on the power-jump  processes of the underlying Additive process. Then,  the hedging portfolio for claims whose payoff  function depends on the prices of the stock and the  power-jump assets at maturity is derived. In  addition to the previous completion strategy, it is  also shown that, using a static hedging formula, the  market can also be completed by considering  portfolios with a continuum of call options with  different strikes and the same maturity. What is  more, the portfolio optimization problem is  considered in the enlarged market. The optimization  problem consists of choosing an optimal portfolio in  such a way that the largest expected utility of the  terminal wealth is obtained. For particular choices  of the equivalent martingale measure, it is shown  that the optimal portfolio consists only of bonds  and stocks.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838353784\"\u003e\u003ch3\u003eDynamic Complex Hedging and Potfolio Optimization in Additive Markets\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838353784","offer_id":39469197557853,"sku":"9783838353784","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/35eb7f44-7c47-4461-9ecb-30f9e08d04c8.jpg?v=1757742228","url":"https:\/\/shop.autorenwelt.de\/products\/complication-and-optimization-in-additive-markets-von-onur-polat","provider":"Autorenwelt Shop","version":"1.0","type":"link"}