We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant to the problem of pricing derivatives. Under the...

We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant to the problem of pricing derivatives. We compare our...

We introduce a criterion how to price derivatives in incomplete markets, which is based on the theory of optimal strategies in repeated multiplicative games. Arguments are presented why such growth-optimal strategies should be relevant to the problem of pricing derivatives. Under the assumptions...