Investment timing in presence of downside risk: a certainty equivalent characterization
DOI10.1007/S10436-008-0100-ZzbMATH Open1233.91232OpenAlexW2094007783MaRDI QIDQ666451FDOQ666451
Teppo A. Rakkolainen, Luis H. R. Alvarez
Publication date: 8 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-008-0100-z
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Cites Work
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- A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
- Perpetual American Options Under Lévy Processes
- American options: the EPV pricing model
- Irreversible decisions under uncertainty. Optimal stopping made easy
- Optimal stopping and perpetual options for Lévy processes
- Optimal stopping made easy
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