Perpetual American options in incomplete markets: the infinitely divisible case
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Publication:3605221
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Cites work
- scientific article; zbMATH DE number 3220189 (Why is no real title available?)
- A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
- A solution approach to valuation with unhedgeable risks
- Hedging American contingent claims with constrained portfolios
- Horizon-unbiased utility functions
- Portfolio Selection with Transaction Costs
- The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
- Utility Maximization with Discretionary Stopping
- Valuing the option to invest in an incomplete market
Cited in
(9)- Portfolios of American options under general preferences: results and counterexamples
- scientific article; zbMATH DE number 7158115 (Why is no real title available?)
- American options and incomplete information
- Optimal exercise of American put options near maturity: a new economic perspective
- American options under periodic exercise opportunities
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
- Volatility and dividend risk in perpetual American options
- Pricing of perpetual American options in a model with partial information
- Asymptotic behavior of optimal exercise strategy for a small number of executive stock options
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