Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model (Q4981886): Difference between revisions
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Revision as of 23:12, 19 March 2024
scientific article; zbMATH DE number 6417977
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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