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Pricing options in incomplete equity markets via the instantaneous Sharpe ratio

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Author Info
Erhan Bayraktar ()
Virginia Young ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10436-007-0084-0
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Publisher Info
Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 4 (October)
Pages: 399-429
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Handle: RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429

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Web page: http://www.springerlink.com/link.asp?id=112370

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Pricing derivative securities; Incomplete markets; Sharpe ratio; Correlated assets; Stochastic volatility; Non-linear partial differential equations; Good deal bounds; G13;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Schweizer, Martin, 2001. "From actuarial to financial valuation principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 31-47, February. [Downloadable!] (restricted)
  2. Marek Musiela & Thaleia Zariphopoulou, 2004. "An example of indifference prices under exponential preferences," Finance and Stochastics, Springer, vol. 8(2), pages 229-239, 05. [Downloadable!] (restricted)
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This page was last updated on 2009-11-21.

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