Pricing options in incomplete equity markets via the instantaneous Sharpe ratio

Annals of Finance

Volumn 4, Issue 4, 2008, Pages 399-429

  Bayraktar, Erhan ^a   Young, Virginia ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Correlated assets; Good deal bounds; Incomplete markets; Non linear partial differential equations; Pricing derivative securities; Sharper atio; Stochastic volatility

Indexed keywords

EID: 47649096952     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-007-0084-0     Document Type: Article

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