THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK

DOI10.1142/S0219024921500230zbMath1470.91277OpenAlexW3183353063MaRDI QIDQ5010076

A. Elizabeth Whalley, Jia Sun, Vicky Henderson

Publication date: 24 August 2021

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

Full work available at URL: https://doi.org/10.1142/s0219024921500230

zbMATH Keywords

American optionsutility indifference pricingexecutive stock optionslookback optionsoption backdating

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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