VALUATION OF COMPOUND OPTION WHEN THE UNDERLYING ASSET IS NON-TRADABLE

DOI10.1142/S021902491000584XzbMath1196.91057MaRDI QIDQ3580218

Yu-Hong Liu

Publication date: 11 August 2010

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

zbMATH Keywords

Lévy processesasset pricing modelgeneralized hyperbolic distributionmultivariate normal mean-variance mixtureunivariate subordination

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Similarity and decision-making under risk (Is there a utility theory resolution to the Allais paradox?)
• Choosing among alternative discrete investment projects under uncertainty
• A market utility approach to investment valuation
• Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
• Real options with constant relative risk aversion
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

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