PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

DOI10.1111/mafi.12008zbMath1314.91196OpenAlexW3124170037WikidataQ124801227 ScholiaQ124801227MaRDI QIDQ2875728

A. Elizabeth Whalley, Vicky Henderson, Jia Sun

Publication date: 11 August 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12008

zbMATH Keywords

American optionsemployee stock optionsutility indifference pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

Optimal exercise of American put options near maturity: a new economic perspective ⋮ The shape of the value function under Poisson optimal stopping ⋮ MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS ⋮ Partial liquidation under reference-dependent preferences ⋮ THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK

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