Accounting for risk aversion in derivatives purchase timing
type: Item
instance of: scholarly article
title: Accounting for risk aversion in derivatives purchase timing
zbMATH Open document ID: 1260.91240
author: Tim Leung
author: Michael Ludkovski
published in: Mathematics and Financial Economics
publication date: 2013-02-26T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6139077
zbMATH Keywords: sequential purchase timing
zbMATH Keywords: indifference pricing
zbMATH Keywords: risk aversion
zbMATH Keywords: stochastic control with optimal stopping
MaRDI profile type: Publication
full work available at URL: s11579-012-0063-8
OpenAlex ID: W3122661269
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DOI: 10.7916/D87H1V3F
DOI: 10.1007/S11579-012-0063-8
description: scientific article; zbMATH DE number 6139077