Accounting for risk aversion in derivatives purchase timing
From MaRDI portal
Publication:1938997
DOI10.7916/D87H1V3F 10.1007/s11579-012-0063-8; 10.7916/D87H1V3FzbMath1260.91240MaRDI 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
risk aversion; indifference pricing; sequential purchase timing; stochastic control with optimal stopping
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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