OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
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Publication:3008482
DOI10.1111/j.1467-9965.2010.00455.xzbMath1215.91073OpenAlexW2126112535MaRDI QIDQ3008482
Vicky Henderson, David G. Hobson
Publication date: 16 June 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00455.x
Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (5)
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ Partial liquidation under reference-dependent preferences ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES
Cites Work
- Valuing the option to invest in an incomplete market
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- Optimal stopping of the maximum process: a converse to the results of Peskir
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- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Portfolio Selection with Transaction Costs
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