OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE

DOI10.1111/j.1467-9965.2008.00347.xzbMath1214.91112OpenAlexW2119184451MaRDI QIDQ3005842

Vicky Henderson, David G. Hobson, Jonathan D. Evans

Publication date: 9 June 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00347.x

zbMATH Keywords

incomplete marketHJB equationreal optionsfree boundaryCRRA utilityhorizon-unbiased utility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Valuing real options with endogenous payoff, Exit option for a class of profit functions, Three Essays on Exponential Hedging with Variable Exit Times, Minimax perfect stopping rules for selling an asset near its ultimate maximum, Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics, Explicit Description of HARA Forward Utilities and Their Optimal Portfolios, Optimal selling of an asset under incomplete information, LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT, Horizon-unbiased utility functions, Model risk in real option valuation, An explicit solution for an optimal stopping/optimal control problem which models an asset sale, A multi-asset investment and consumption problem with transaction costs, Optimal Liquidation of an Asset under Drift Uncertainty, Optimal Consumption and Sale Strategies for a Risk Averse Agent

Cites Work

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• Valuing Risky Projects: Option Pricing Theory and Decision Analysis