THE END-OF-THE-YEAR BONUS: HOW TO OPTIMALLY REWARD A TRADER?

DOI10.1142/S0219024902001420zbMATH Open1138.91415MaRDI QIDQ3022044

Author name not available (Why is that?)

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationMonte Carlo simulationsSharpe ratio

Mathematics Subject Classification ID

Trade models (91B60) Actuarial science and mathematical finance (91G99)

Cites Work

• Exotic passport options
• Martingales and stochastic integrals in the theory of continuous trading
• ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES
• Various passport options and their valuation

Related Items (2)

The valuation of American passport options: a viscosity solution approach ⋮ Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model

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