Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model
DOI10.1080/15326349.2014.967531zbMath1345.60062MaRDI QIDQ4981886
Publication date: 20 March 2015
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2014.967531
backward stochastic differential equations; counting process; model ambiguity; instantaneous Sharpe ratio; instantaneous mean-variance risk; no-good-deal pricing
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
49N90: Applications of optimal control and differential games
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
49J55: Existence of optimal solutions to problems involving randomness
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