Accounting for risk aversion in derivatives purchase timing

DOI10.7916/D87H1V3F 10.1007/s11579-012-0063-8; 10.7916/D87H1V3FzbMath1260.91240MaRDI QIDQ1938997

Michael Ludkovski, Tim Leung

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

zbMATH Keywords

risk aversion; indifference pricing; sequential purchase timing; stochastic control with optimal stopping

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

INDIFFERENCE PRICES AND IMPLIED VOLATILITIES, RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES, Impact of risk aversion and belief heterogeneity on trading of defaultable claims, Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics, AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING

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