On the implied market price of risk under the stochastic numéraire
From MaRDI portal
Publication:1648909
DOI10.1007/s10436-017-0315-yzbMath1397.91568OpenAlexW2772966469MaRDI QIDQ1648909
Publication date: 5 July 2018
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/63418
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Negative call prices
- Capital market equilibrium without riskless assets: heterogeneous expectations
- Mathematical methods for financial markets.
- Pricing options under stochastic interest rates: a new approach
- Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
- Numéraire-invariant preferences in financial modeling
- The numéraire portfolio in semimartingale financial models
- On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
- Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter
- Pricing Asian options in a semimartingale model
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- The Role of Learning in Dynamic Portfolio Decisions *
- Changes of numéraire, changes of probability measure and option pricing
- Local risk minimization and numéraire
- OPTION PRICING VIA MAXIMIZATION OVER UNCERTAINTY AND CORRECTION OF VOLATILITY SMILE
- Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
- The numeraire portfolio for unbounded semimartingale
This page was built for publication: On the implied market price of risk under the stochastic numéraire
