Interest rate risk premium and equity valuation

DOI10.1007/S11424-010-0142-YzbMath1198.91220OpenAlexW2033356373MaRDI QIDQ601065

Zhuang Kang, Srdjan D. Stojanovic

Publication date: 3 November 2010

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-0142-y

zbMATH Keywords

incomplete marketsinterest rate riskrisk premiumequity valuationneutral pricing

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Interest rates risk-premium and shape of the yield curve

Cites Work

• Risk premium and fair option prices under stochastic volatility: the HARA solution.
• Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems
• Reducing parabolic partial differential equations to canonical form
• An equilibrium characterization of the term structure
• Interest rate models -- theory and practice

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