Perpetual American options in incomplete markets: the infinitely divisible case
From MaRDI portal
Publication:3605221
DOI10.1080/14697680701400986zbMATH Open1154.91446OpenAlexW1974672682MaRDI QIDQ3605221FDOQ3605221
Authors: Vicky Henderson, David Hobson 
Publication date: 23 February 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701400986
Recommendations
- Volatility and dividend risk in perpetual American options
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- American options under periodic exercise opportunities
- Perpetual American options in a diffusion model with piecewise-linear coefficients
- American options and incomplete information
Cites Work
- Portfolio Selection with Transaction Costs
- Title not available (Why is that?)
- Hedging American contingent claims with constrained portfolios
- Utility Maximization with Discretionary Stopping
- Valuing the option to invest in an incomplete market
- A solution approach to valuation with unhedgeable risks
- The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
- Horizon-unbiased utility functions
- A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
Cited In (9)
- Title not available (Why is that?)
- Portfolios of American options under general preferences: results and counterexamples
- American options and incomplete information
- Optimal exercise of American put options near maturity: a new economic perspective
- American options under periodic exercise opportunities
- Volatility and dividend risk in perpetual American options
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
- 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
This page was built for publication: Perpetual American options in incomplete markets: the infinitely divisible case
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3605221)
