Forward indifference valuation of American options

DOI10.1080/17442508.2012.694438zbMath1260.91241OpenAlexW3121923932MaRDI QIDQ3145087

Thaleia Zariphopoulou, Tim Leung, Ronnie Sircar

Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2012.694438

zbMATH Keywords

American optionsemployee stock optionsindifference pricingstochastic control with optimal stoppingforward performancemarginal forward performance price

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Utility theory (91B16) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

Related Items (10)

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE ⋮ Competition in Fund Management and Forward Relative Performance Criteria ⋮ Nash Equilibria for Game Contingent Claims with Utility-Based Hedging ⋮ Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point ⋮ RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ Forward Exponential Indifference Valuation in an Incomplete Binomial Model ⋮ Bond indifference prices

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