Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model

DOI10.1080/15326349.2014.967531zbMath1345.60062MaRDI QIDQ4981886

Łukasz Delong, Antoon Pelsser

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

zbMATH Keywords

backward stochastic differential equations; counting process; model ambiguity; instantaneous Sharpe ratio; instantaneous mean-variance risk; no-good-deal pricing

Mathematics Subject Classification ID

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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Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application, On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples

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