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Perpetual Options on Multiple Underlyings

Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied Mathematical Finance 21 (2014) 2, pp. 174-200

We study three classes of perpetual option with multiple uncertainties and American-style exercise boundaries, using a partial differential equation-based approach. A combination of accurate numerical techniques and asymptotic analyses is implemented, with each approach informing and confirming...

Persistent link: https://www.econbiz.de/10010824918

Investor timing behaviour under imperfect timing information in the factor model

Howell, Sydney D.; Armada, Manuel José da Rocha - 1992

Persistent link: https://www.econbiz.de/10000837948

The reasonable expectations of rational investors, and the ex post, ex ante distinction

Howell, Sydney D.; Newton, David P. - 1992

Persistent link: https://www.econbiz.de/10000838241

An instance of local community and class conflict : Spanningdale playgroup

Howell, Sydney D. - 1992

Persistent link: https://www.econbiz.de/10000838242

Correlation between market timing performance and stock selection performance in the Henriksson-Merton model

Howell, Sydney D.; Armada, Manuel José da Rocha - 1992

Persistent link: https://www.econbiz.de/10000838243

The benefits of integrating European electricity markets

Newbery, David M. G.; Strbac, Goran; Viehoff, Ivan - 2015

Persistent link: https://www.econbiz.de/10011285992

A system operator's utility function for the frequency response market

Greve, Thomas; Teng, Fei; Pollitt, Michael G.; Strbac, Goran - 2017

Persistent link: https://www.econbiz.de/10011741673

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