The implied Sharpe ratio

DOI10.1080/14697688.2020.1718194zbMath1454.91274arXiv1908.04837OpenAlexW3008901117MaRDI QIDQ5139210

Ankush Agarwal, Matthew Lorig

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.04837

zbMATH Keywords

stochastic volatilitySharpe ratioHestonPDE asymptoticsreciprocal Heston

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Analytical approximation of the transition density in a local volatility model
• Continuous-time stochastic control and optimization with financial applications
• The mathematics of arbitrage
• Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results
• INDIFFERENCE PRICES AND IMPLIED VOLATILITIES
• The Risk-Averse (and Prudent) Newsboy
• Analytical Expansions for Parabolic Equations
• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item

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