OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
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Publication:3008482
DOI10.1111/j.1467-9965.2010.00455.xzbMath1215.91073MaRDI QIDQ3008482
Vicky Henderson, David G. Hobson
Publication date: 16 June 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00455.x
91B16: Utility theory
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
Cites Work
- Valuing the option to invest in an incomplete market
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Optimal exercise of executive stock options
- Optimal stopping of the maximum process: The maximality principle
- Liquidity risk and arbitrage pricing theory
- Risk aversion and block exercise of executive stock options
- Optimal stopping of the maximum process: a converse to the results of Peskir
- Perpetual American options in incomplete markets: the infinitely divisible case
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Portfolio Selection with Transaction Costs