Markets with random lifetimes and private values: mean reversion and option to trade
DOI10.1007/S10203-014-0155-4zbMath1398.91577OpenAlexW2052075207MaRDI QIDQ2343114
Chien-Yao Tseng, Charles R. Plott, Jakša Cvitanić
Publication date: 4 May 2015
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-014-0155-4
equilibrium priceexperimental marketsoptimal exercise of optionstick-by-tick tradingtrading with private values
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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