MILLER, SHANE M.; PLATEN, ECKHARD - In: International Journal of Theoretical and Applied … 11 (2008) 08, pp. 841-867
This article derives a series of analytic formulae for various contingent claims under the real-world probability measure using the stylised minimal market model (SMMM). This model provides realistic dynamics for the growth optimal portfolio (GOP) as a well-diversified equity index. It captures...