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Utility Maximization When Shorting American Options - MaRDI portal

Utility Maximization When Shorting American Options (Q5853611)

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scientific article; zbMATH DE number 7319374
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English
Utility Maximization When Shorting American Options
scientific article; zbMATH DE number 7319374

    Statements

    title
    Utility Maximization When Shorting American Options (English)
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    author
    Zhou Zhou
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    publication date
    11 March 2021
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    zbMATH Keywords
    shorting American options
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    robust utility maximization
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    semistatic trading strategy
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    nonanticipative strategy
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    liquidating strategy
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    randomized stopping time
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    Identifiers

    DOI
    10.1137/20M1320584
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    Mathematics Subject Classification ID
    91G20
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    60G40
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    91B16
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    zbMATH DE Number
    7319374
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    OpenAlex ID
    W3041001426
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