Forward indifference valuation of American options
Publication:3145087
DOI10.1080/17442508.2012.694438zbMath1260.91241OpenAlexW3121923932MaRDI QIDQ3145087
Thaleia Zariphopoulou, Tim Leung, Ronnie Sircar
Publication date: 13 December 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2012.694438
American optionsemployee stock optionsindifference pricingstochastic control with optimal stoppingforward performancemarginal forward performance price
Stochastic models in economics (91B70) Utility theory (91B16) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)
Related Items (10)
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