Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Year of publication: |
2008
|
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Authors: | Bayraktar, Erhan ; Young, Virginia R. |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 4.2008, 4, p. 399-429
|
Subject: | Sharpe Ratio | Derivat | Derivative | Rendite | Yield | Unvollkommener Markt | Incomplete market | Risikoprämie | Risk premium | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Nichtlineare Regression | Nonlinear regression | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory | Theorie | Theory |
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