Pricing options in incomplete equity markets via the instantaneous Sharpe ratio

DOI10.1007/s10436-007-0084-0zbMath1233.91256arXivmath/0701650OpenAlexW2036709538MaRDI QIDQ665826

Virginia R. Young, Erhan Bayraktar

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701650

zbMATH Keywords

stochastic volatilityincomplete marketsSharpe ratiocorrelated assetsgood deal boundsnon-linear partial differential equationspricing derivative securities

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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