Accounting for risk aversion in derivatives purchase timing
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Publication:1938997
DOI10.7916/D87H1V3F 10.1007/s11579-012-0063-8; 10.7916/D87H1V3FzbMath1260.91240OpenAlexW3122661269MaRDI QIDQ1938997
Publication date: 26 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-012-0063-8
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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