Computational methods for incentive option valuation

DOI10.1007/s10287-008-0085-0zbMath1205.90208OpenAlexW2166230892MaRDI QIDQ2271801

Markku Kallio, Antti Pirjetä

Publication date: 4 August 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-008-0085-0

zbMATH Keywords

portfolio choiceinvestment decisionscontingent claim pricingoptimisation techniques

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15)

Uses Software

• AMPL

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Explicit solutions to an optimal portfolio choice problem with stochastic income
• Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
• Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
• Risk Aversion in the Small and in the Large

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