Dynamic asset pricing theory with uncertain time-horizon

DOI10.1016/j.jedc.2004.10.002zbMath1198.91078OpenAlexW3125527597MaRDI QIDQ956467

Christophette Blanchet-Scalliet, Nicole El Karoui, Lionel Martellini

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.10.002

zbMATH Keywords

asset pricingincomplete marketsrandom timeuncertain time-horizon

Mathematics Subject Classification ID

Related Items (19)

Portfolio selection with uncertain exit time: a robust CVaR approach ⋮ The worst case for real options ⋮ Non-concave expected utility optimization with uncertain time horizon ⋮ Mean–variance hedging of contingent claims with random maturity ⋮ Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function ⋮ Portfolio optimization with uncertain exit time in infinite-time horizon ⋮ American perpetual options with random start ⋮ Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates ⋮ Optimal investment decisions when time-horizon is uncertain ⋮ The role of non-convex costs in firms' investment and financial dynamics ⋮ INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK ⋮ EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS ⋮ Systematic equity-based credit risk: A CEV model with jump to default ⋮ Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities ⋮ Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio ⋮ Minimal Hellinger martingale measures of order \(q\) ⋮ Discrete analysis of portfolio selection with optimal stopping time ⋮ Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty ⋮ Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate

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