Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model (Q4981886): Difference between revisions

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Latest revision as of 20:35, 9 July 2024

scientific article; zbMATH DE number 6417977
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English
Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model
scientific article; zbMATH DE number 6417977

    Statements

    Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model (English)
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    20 March 2015
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    backward stochastic differential equations
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    counting process
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    instantaneous mean-variance risk
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    instantaneous Sharpe ratio
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    model ambiguity
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    no-good-deal pricing
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