On the implied market price of risk under the stochastic numéraire

DOI10.1007/S10436-017-0315-YzbMATH Open1397.91568OpenAlexW2772966469MaRDI QIDQ1648909FDOQ1648909

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

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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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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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