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The geometry of risk adjustments - MaRDI portal

The geometry of risk adjustments

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Publication:6581906

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DOI10.1007/s10203-023-00421-1zbMath1546.91233MaRDI QIDQ6581906

Magnus Holm, Hans-Peter Bermin

Publication date: 1 August 2024

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

zbMATH Keywords

geometry option pricing Kelly criterion market price of risk Jensen's alpha

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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