Option on a unit-type closed-end investment fund

DOI10.1007/4-431-34342-3_1zbMATH Open1189.49043OpenAlexW74890398MaRDI QIDQ3564002FDOQ3564002

Authors: Takashi Adachi 

Publication date: 2 June 2010

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/4-431-34342-3_1

Recommendations

• Pricing Dynamic Investment Fund Protection
• Portfolio selection of a closed-end mutual fund
• Pricing Perpetual Fund Protection with Withdrawal Option
• scientific article; zbMATH DE number 1223600
• Risk premium and fair option prices under stochastic volatility: the HARA solution.

zbMATH Keywords

dynamic programming principlecapital guaranteed fundfair option premiumstochastic exit time control

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

This page was built for publication: Option on a unit-type closed-end investment fund

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3564002)