Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
نویسندگان
چکیده
منابع مشابه
J ul 2 00 7 Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
Abstract: We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is...
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Abstract: We develop a theory for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Second, we appl...
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ژورنال
عنوان ژورنال: Annals of Finance
سال: 2007
ISSN: 1614-2446,1614-2454
DOI: 10.1007/s10436-007-0084-0