Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model

Lukasz Delong; Antoon Pelsser

doi:10.1080/15326349.2014.967531

Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	67-97
Journal	Stochastic Models
Volume	31
Issue number	1
DOIs	https://doi.org/10.1080/15326349.2014.967531
Publication status	Published - 2 Jan 2015

Keywords

No-good-deal pricing
Counting process
Backward stochastic differential equations
Model ambiguity
Instantaneous Sharpe ratio
Instantaneous mean-variance risk

Access to Document

10.1080/15326349.2014.967531

Cite this

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title = "Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model",

keywords = "No-good-deal pricing, Counting process, Backward stochastic differential equations, Model ambiguity, Instantaneous Sharpe ratio, Instantaneous mean-variance risk",

author = "Lukasz Delong and Antoon Pelsser",

year = "2015",

month = jan,

day = "2",

doi = "10.1080/15326349.2014.967531",

language = "English",

volume = "31",

pages = "67--97",

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AU - Delong, Lukasz

AU - Pelsser, Antoon

PY - 2015/1/2

Y1 - 2015/1/2

KW - No-good-deal pricing

KW - Counting process

KW - Backward stochastic differential equations

KW - Model ambiguity

KW - Instantaneous Sharpe ratio

KW - Instantaneous mean-variance risk

U2 - 10.1080/15326349.2014.967531

DO - 10.1080/15326349.2014.967531

M3 - Article

VL - 31

SP - 67

EP - 97

JO - Stochastic Models

JF - Stochastic Models

SN - 1532-6349

IS - 1

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