Perpetual American options in incomplete markets: the infinitely divisible case

DOI10.1080/14697680701400986zbMath1154.91446OpenAlexW1974672682MaRDI QIDQ3605221

Vicky Henderson, David G. Hobson

Publication date: 23 February 2009

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

Full work available at URL: https://doi.org/10.1080/14697680701400986

zbMATH Keywords

infinitely divisibleincomplete marketsperpetual American options

Mathematics Subject Classification ID

Related Items (3)

Optimal exercise of American put options near maturity: a new economic perspective ⋮ Asymptotic behavior of optimal exercise strategy for a small number of executive stock options ⋮ OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS

Cites Work

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• Valuing the option to invest in an incomplete market
• Hedging American contingent claims with constrained portfolios
• Horizon-unbiased utility functions
• Utility Maximization with Discretionary Stopping
• A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
• The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
• Portfolio Selection with Transaction Costs
• A solution approach to valuation with unhedgeable risks

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