Pricing options in incomplete equity markets via the instantaneous Sharpe ratio (Q665826)
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scientific article; zbMATH DE number 6012456
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| English | Pricing options in incomplete equity markets via the instantaneous Sharpe ratio |
scientific article; zbMATH DE number 6012456 |
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Pricing options in incomplete equity markets via the instantaneous Sharpe ratio (English)
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6 March 2012
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pricing derivative securities
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incomplete markets
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Sharpe ratio
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correlated assets
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stochastic volatility
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non-linear partial differential equations
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good deal bounds
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0.8995047
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0.89776605
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0.8960682
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