Game pricing and double sequence of random variables
Optimization and Control
2013-06-28 v1
Abstract
In this paper, we study a game with positive or plus infinite expectation and determine the optimal proportion of investment for maximizing the limit expectation of growth rate per attempt. With this objective, we introduce a new pricing method in which the price is different from that obtained by the Black-Scholes formula for a European option.
Keywords
Cite
@article{arxiv.math/0703076,
title = {Game pricing and double sequence of random variables},
author = {Yukio Hirashita},
journal= {arXiv preprint arXiv:math/0703076},
year = {2013}
}
Comments
29 pages