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

Lukasz Delong, Antoon Pelsser

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)67-97
JournalStochastic Models
Volume31
Issue number1
DOIs
Publication statusPublished - 2 Jan 2015

Keywords

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

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