Good-Deal Bounds in a Regime-Switching Diffusion Market

DOI10.1080/1350486X.2011.591156zbMath1239.91161arXiv1006.2273MaRDI QIDQ2889602

Catherine Donnelly

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2273

zbMATH Keywords

stabilityoption pricingSharpe ratioregime-switchingpricing boundsgood-deal

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Hedging under generalized good-deal bounds and model uncertainty ⋮ Robust evaluation of SCR for participating life insurances under Solvency II

Cites Work

• Unnamed Item
• Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
• Dynamic utility-based good deal bounds
• Double martingales
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• Towards a General Theory of Good-Deal Bounds*
• Arbitrage Theory in Continuous Time
• A Regime-Switching Model of Long-Term Stock Returns

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