Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk
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Publication:2444679
Recommendations
- Consumption utility-based pricing and timing of the option to invest with partial information
- Comment on “Investment Timing Under Incomplete Information”
- Valuing the option to invest in an incomplete market
- Investment Timing Under Incomplete Information
- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Cites work
- A practical approach to \(R_{0}\) in continuous-time ecological models
- A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem
- Comment on “Investment Timing Under Incomplete Information”
- Consumption utility-based pricing and timing of the option to invest with partial information
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 3333735 (Why is no real title available?)
- Investment Timing Under Incomplete Information
- Mean‐Variance Portfolio Selection under Partial Information
- On the smooth-fit principle in $ \mathbb R^n$
- Optimal hedging and parameter uncertainty
- Optimal trading strategy for an investor: the case of partial information
- OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
- Optimum consumption and portfolio rules in a continuous-time model
- Price setting with menu cost for multiproduct firms
- Real options with constant relative risk aversion
- Stochastic differential equations. An introduction with applications.
- The Role of Learning in Dynamic Portfolio Decisions *
- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
- Utility-based valuation and hedging of basis risk with partial information
- Valuing the option to invest in an incomplete market
Cited in
(5)- Valuing pilot projects in a learning by investing framework: an approximate dynamic programming approach
- Optimal hitting time and perpetual option in a non-Lévy model: application to real options
- Insights on the Effect of Land Use Choice: The Perpetual Option on the Best of Two Underlying Assets
- Pricing contingent convertibles with idiosyncratic risk
- Corporate full-scale hedging and pricing of high-risk growth investment option
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