Optimal trading of stock options under alternative strategy

DOI10.1016/0898-1221(92)90237-CzbMath0782.90006OpenAlexW2092428451MaRDI QIDQ1206118

Tadashi Dohi, Shunji Osaki

Publication date: 1 April 1993

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(92)90237-c

zbMATH Keywords

portfolio managementAmerican stock optionsoptimal exercise policy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• The Pricing of Options and Corporate Liabilities
• On the pricing of American options
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The joint density of the maximum and its location for a Wiener process with drift
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