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Hedge portfolios and the black-scholes equations

 

作者: W.J. Anderson,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1984）
卷期: Volume 2, issue 1  

页码: 1-11

 

ISSN:0736-2994

 

年代: 1984

 

DOI:10.1080/07362998408809024

 

出版商: Marcel Dekker, Inc.

 

关键词: Hedge Portfolio;Riskless;Stochastic Integral Equation;Martingale

 

数据来源: Taylor

 

摘要:

In 1973, Black and Scholes showed that a portfolio made up of shares of an asset A, whose price varies as a geometric Brownian motion, and shares of an asset B, whose price per share is functionally dependent on the price per share of A could be manipulated to be riskless, and designed to achieve any given rate of return on investment

 

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