Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model

DOI10.1080/15326349.2014.967531zbMath1345.60062OpenAlexW1978458960MaRDI QIDQ4981886

Łukasz Delong, Antoon Pelsser

Publication date: 20 March 2015

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2014.967531

zbMATH Keywords

backward stochastic differential equationscounting processmodel ambiguityinstantaneous Sharpe ratioinstantaneous mean-variance riskno-good-deal pricing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application

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