Capital asset pricing for markets with intensity based jumps

MaRDI QIDQ3511643zbMATH OpenFDO

Authors Eckhard Platen

Publication date 11 July 2008

zbMATH Keywords

jump diffusionsSharpe ratioefficient frontieractuarial pricinggrowth optimal portfoliomarket portfoliofair pricingbenchmark model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

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