Capital asset pricing for markets with intensity based jumps

zbMATH Open1156.60051MaRDI QIDQ3511643FDOQ3511643

Authors: Eckhard Platen 

Publication date: 11 July 2008

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• scientific article; zbMATH DE number 2133123

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)

Cited In (3)

• An intensity-based approach for equity modeling
• A class of complete benchmark models with intensity-based jumps
• A BENCHMARK APPROACH TO FINANCE

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