Time consistent pricing of options with embedded decisions

DOI10.1007/S11147-019-09158-9MaRDI QIDQ2180301zbMATH OpenOpenAlexFDO

Authors Gregor Dorfleitner, Johannes Gerer

Publication date 13 May 2020

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://epub.uni-regensburg.de/40097/1/SSRN-id2789314.pdf

zbMATH Keywords

derivatives pricingtime consistencyacceptance setsearly exerciseembedded decisions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Decision theory (91B06)

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Cites work

• scientific article; zbMATH DE number 1642345 (Why is no real title available?)
• scientific article; zbMATH DE number 515978 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• Coherent measures of risk
• Coherent multiperiod risk adjusted values and Bellman's principle
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• Conditional and dynamic convex risk measures
• Continuous-time stochastic control and optimization with financial applications
• Convex Analysis
• Convex measures of risk and trading constraints
• Dynamic monetary risk measures for bounded discrete-time processes
• Game options
• On the pricing of American options
• Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
• Optimization Problems in the Theory of Continuous Trading
• Properties of game options
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The pricing of the American option
• Time consistent dynamic risk measures
• Various passport options and their valuation

Cited in

(2)

• scientific article; zbMATH DE number 7113133 (Why is no real title available?)
• A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes

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