Forward indifference valuation of American options
From MaRDI portal
Publication:3145087
DOI10.1080/17442508.2012.694438zbMath1260.91241MaRDI QIDQ3145087
Thaleia Zariphopoulou, Tim Leung, Ronnie Sircar
Publication date: 13 December 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2012.694438
American options; employee stock options; indifference pricing; stochastic control with optimal stopping; forward performance; marginal forward performance price
91B70: Stochastic models in economics
91B16: Utility theory
93E20: Optimal stochastic control
91G20: Derivative securities (option pricing, hedging, etc.)
62L15: Optimal stopping in statistics
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