On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation

DOI10.1007/S007800050070zbMATH Open1042.91525OpenAlexW2012652382MaRDI QIDQ1979072FDOQ1979072

Tomas S. Knudsen, Bernhard K. Meister, Mihail Zervos

Publication date: 24 May 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050070

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zbMATH Keywords

dynamic programmingcontingent claimsreal assetsnon-arbitrage investment model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Cited In (2)

• A model for investment decisions with switching costs.
• Entry and Exit Decision Problem with Implementation Delay

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