Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
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- Erhan Bayraktar & Virginia R. Young, 2007. "Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio," Papers math/0701650, arXiv.org, revised Jul 2007.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Wang, Ting & Young, Virginia R., 2016. "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 238-255.
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- Bisetti, Emilio & Favero, Carlo A. & Nocera, Giacomo & Tebaldi, Claudio, 2017.
"A Multivariate Model of Strategic Asset Allocation with Longevity Risk,"
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- Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2013. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Working Papers 503, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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More about this item
KeywordsPricing derivative securities; Incomplete markets; Sharpe ratio; Correlated assets; Stochastic volatility; Non-linear partial differential equations; Good deal bounds; G13;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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