Dynamic valuation of options on non-traded assets and trading strategies

DOI10.1007/s11424-013-1198-2zbMath1295.91093OpenAlexW2346472338MaRDI QIDQ741862

Shuguang Zhang, Hui Mi

Publication date: 15 September 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-013-1198-2

zbMATH Keywords

stochastic controloption pricingportfolio selectionnon-traded asset

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ Optimal investment with derivatives and pricing in an incomplete market ⋮ Risk management for international portfolios with basket options: A multi-stage stochastic programming approach

Cites Work

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• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• A solution approach to valuation with unhedgeable risks

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