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The implied Sharpe ratio - MaRDI portal

The implied Sharpe ratio (Q5139210)

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scientific article; zbMATH DE number 7282760
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English
The implied Sharpe ratio
scientific article; zbMATH DE number 7282760

    Statements

    title
    The implied Sharpe ratio (English)
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    author
    Ankush Agarwal
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    Matthew Lorig
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    publication date
    7 December 2020
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    zbMATH Keywords
    Sharpe ratio
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    PDE asymptotics
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    stochastic volatility
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    Heston
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    reciprocal Heston
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    Identifiers

    zbMATH DE Number
    7282760
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    OpenAlex ID
    W3008901117
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    arXiv ID
    1908.04837
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