Pricing options in incomplete equity markets via the instantaneous Sharpe ratio

Erhan Bayraktar and Virginia Young ()

Annals of Finance, 2008, vol. 4, issue 4, 399-429

Keywords: Pricing derivative securities; Incomplete markets; Sharpe ratio; Correlated assets; Stochastic volatility; Non-linear partial differential equations; Good deal bounds; G13 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (15)

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Working Paper: Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio (2007)
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DOI: 10.1007/s10436-007-0084-0

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