Optimal Timing to Purchase Options

DOI10.1137/100809386zbMath1260.91239arXiv1008.3650OpenAlexW3104442264MaRDI QIDQ5388685

Michael Ludkovski, Tim Leung

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.3650

zbMATH Keywords

optimal stoppingrisk premiaprice discrepancydelayed purchase premium

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Exit option for a class of profit functions ⋮ Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Accounting for risk aversion in derivatives purchase timing ⋮ RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES ⋮ Optimal trading with a trailing stop ⋮ Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management

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