| Publication | Date of Publication | Type |
|---|
Cautious stochastic choice, optimal stopping and deliberate randomization
Economic Theory | 2023-07-03 | Paper |
The value of being lucky: option backdating and nondiversifiable risk
International Journal of Theoretical and Applied Finance | 2021-08-24 | Paper |
Executive stock option exercise with full and partial information on a drift change point
SIAM Journal on Financial Mathematics | 2021-01-15 | Paper |
Partial liquidation under reference-dependent preferences
Finance and Stochastics | 2020-03-25 | Paper |
Probability weighting, stop-loss and the disposition effect
Journal of Economic Theory | 2018-11-19 | Paper |
Optimal stopping and the sufficiency of randomized threshold strategies
Electronic Communications in Probability | 2018-05-11 | Paper |
Optimal stopping and the sufficiency of randomized threshold strategies
Electronic Communications in Probability | 2018-05-11 | Paper |
Randomized strategies and prospect theory in a dynamic context
Journal of Economic Theory | 2017-02-10 | Paper |
A multidimensional exponential utility indifference pricing model with applications to counterparty risk
SIAM Journal on Control and Optimization | 2016-03-29 | Paper |
On managerial risk-taking incentives when compensation may be hedged against
Mathematics and Financial Economics | 2014-11-26 | Paper |
Pseudo linear pricing rule for utility indifference valuation
Finance and Stochastics | 2014-09-26 | Paper |
Portfolios of American options under general preferences: results and counterexamples
Mathematical Finance | 2014-08-11 | Paper |
Risk Aversion, Indivisible Timing Options, and Gambling
Operations Research | 2013-07-02 | Paper |
OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
Mathematical Finance | 2011-06-16 | Paper |
Optimal timing for an indivisible asset sale
Mathematical Finance | 2011-06-09 | Paper |
Is corporate control effective when managers face investment timing decisions in incomplete markets?
Journal of Economic Dynamics and Control | 2010-06-11 | Paper |
Risk aversion and block exercise of executive stock options
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
| scientific article; zbMATH DE number 5529013 (Why is no real title available?) | 2009-03-16 | Paper |
Perpetual American options in incomplete markets: the infinitely divisible case
Quantitative Finance | 2009-02-23 | Paper |
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
The Annals of Applied Probability | 2008-11-27 | Paper |
Explicit solutions to an optimal portfolio choice problem with stochastic income
Journal of Economic Dynamics and Control | 2008-11-25 | Paper |
Valuing the option to invest in an incomplete market
Mathematics and Financial Economics | 2008-05-27 | Paper |
Bounds for in-progress floating-strike Asian options using symmetry
Annals of Operations Research | 2008-03-31 | Paper |
Horizon-unbiased utility functions
Stochastic Processes and their Applications | 2007-12-17 | Paper |
Is there an informationally passive benchmark for option pricing incorporating maturity?
Quantitative Finance | 2007-05-18 | Paper |
A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
Review of Derivatives Research | 2006-05-02 | Paper |
The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
Quantitative Finance | 2005-10-17 | Paper |
ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
Mathematical Finance | 2005-08-17 | Paper |
A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
Coupling and option price comparisons in a jump-diffusion model
Stochastics and Stochastic Reports | 2003-10-12 | Paper |
VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
Mathematical Finance | 2003-08-13 | Paper |
On the equivalence of floating- and fixed-strike Asian options
Journal of Applied Probability | 2003-02-06 | Paper |
Real options with constant relative risk aversion
Journal of Economic Dynamics and Control | 2003-01-21 | Paper |
Passport options with stochastic volatility
Applied Mathematical Finance | 2002-09-05 | Paper |
| scientific article; zbMATH DE number 1642345 (Why is no real title available?) | 2002-03-12 | Paper |
Price comparison results and super-replication: An application to passport options
Applied Stochastic Models in Business and Industry | 2001-07-11 | Paper |
Local time, coupling and the passport option
Finance and Stochastics | 2000-05-24 | Paper |
