Pricing options in incomplete equity markets via the instantaneous Sharpe ratio (Q665826)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing options in incomplete equity markets via the instantaneous Sharpe ratio |
scientific article |
Statements
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio (English)
0 references
6 March 2012
0 references
pricing derivative securities
0 references
incomplete markets
0 references
Sharpe ratio
0 references
correlated assets
0 references
stochastic volatility
0 references
non-linear partial differential equations
0 references
good deal bounds
0 references
0 references
