Abstract
In this chapter we introduce the “optimal growth strategy” and the associated “optimal growth portfolios” in markets of semimartingale models. We work out expressions of “optimal growth portfolios” in a geometric Levy process model and a jump-diffusion-like process model. In Sect. 14.2, we present the “numeraire portfolio approach” to contingent claim pricing in a geometric Levy process model. In Sect. 14.3 we give an overview of other martingale measure approaches to contingent claim pricing.
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