Consumption utility-based pricing and timing of the option to invest with partial information

DOI10.1007/s10614-011-9289-4zbMath1243.91047OpenAlexW2021718820MaRDI QIDQ431904

Jinqiang Yang, Zhaojun Yang

Publication date: 3 July 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-011-9289-4

zbMATH Keywords

real optionspartial informationconsumption utility-based indifference pricingimplied information value

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Portfolio theory (91G10)

Related Items (6)

Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk ⋮ Pricing contingent convertibles with idiosyncratic risk ⋮ Hedge funds trading strategies and leverage ⋮ Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk ⋮ Real options maximizing survival probability under incomplete markets ⋮ Real options under a double exponential jump-diffusion model with regime switching and partial information

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