Game pricing and double sequence of random variables

Details Game pricing and double sequence of random variables Game pricing and double sequence of random variables

2007-03-03

arxiv.org/abs/math/0703076v1

Mathematics

Optimization and Control

29 pages

Scientific paper

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.

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