Interest rate risk premium and equity valuation
From MaRDI portal
Publication:601065
DOI10.1007/s11424-010-0142-yzbMath1198.91220MaRDI QIDQ601065
Srdjan D. Stojanovic, Zhuang Kang
Publication date: 3 November 2010
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-010-0142-y
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G30: Interest rates, asset pricing, etc. (stochastic models)
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Cites Work
- Risk premium and fair option prices under stochastic volatility: the HARA solution.
- Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems
- Reducing parabolic partial differential equations to canonical form
- An equilibrium characterization of the term structure
- Interest rate models -- theory and practice