On the implied market price of risk under the stochastic numéraire

DOI10.1007/S10436-017-0315-YMaRDI QIDQ1648909zbMATHOpenAlexFDO

Authors Nikolai Dokuchaev

Publication date 5 July 2018

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/20.500.11937/63418

zbMATH Keywords

incomplete marketmarket price of riskimplied parametersstochastic bond pricerandom numéraire

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• scientific article; zbMATH DE number 2144815 (Why is no real title available?)
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• The Role of Learning in Dynamic Portfolio Decisions *
• The numeraire portfolio for unbounded semimartingale
• The numéraire portfolio in semimartingale financial models

Cited in

(2)

• TWO APPROACHES FOR STOCHASTIC INTEREST RATE OPTION MODEL
• Risk premiums in a simple market model for implied volatility

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