Growth Optimal Portfolio for unobservable Markov-modulated markets
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- Eckhard Platen, 2001. "Arbitrage in Continuous Complete Markets," Research Paper Series 72, Quantitative Finance Research Centre, University of Technology, Sydney.
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Keywords
?nancial markets; jump diffusions; contingent claims; pricing; hedging; GOP; growth optimal portfolio; stochastic control; incomplete information; Markov modulated markets.;All these keywords.
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