Dynamic asset pricing theory with uncertain time-horizon
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Publication:956467
DOI10.1016/J.JEDC.2004.10.002zbMATH Open1198.91078OpenAlexW3125527597MaRDI QIDQ956467FDOQ956467
Authors: Christophette Blanchet-Scalliet, Nicole El Karoui, Lionel Martellini 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.10.002
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- American perpetual options with random start
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- Non-concave expected utility optimization with uncertain time horizon
- Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
- Indifference valuation of mortgage-backed securities in the presence of prepayment risk
- Portfolio selection with uncertain exit time: a robust CVaR approach
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- Dynamic asset pricing with non-redundant forwards
- Discrete analysis of portfolio selection with optimal stopping time
- Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
- EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
- Minimal Hellinger martingale measures of order \(q\)
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
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