On the implied market price of risk under the stochastic numéraire
type: Item
instance of: scholarly article
title: On the implied market price of risk under the stochastic numéraire
zbMATH Open document ID: 1397.91568
published in: Annals of Finance
publication date: 2018-07-05T00:00:00Z
full work available at URL: http://hdl.handle.net/20.500.11937/63418
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6898623
zbMATH Keywords: implied parameters
zbMATH Keywords: market price of risk
zbMATH Keywords: random numéraire
zbMATH Keywords: stochastic bond price
zbMATH Keywords: incomplete market
author: Nikolai Dokuchaev
MaRDI profile type: Publication
OpenAlex ID: W2772966469
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DOI: 10.1007/S10436-017-0315-Y
description: scientific article; zbMATH DE number 6898623