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Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options

Leung, Tim; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 99-128

Persistent link: https://www.econbiz.de/10003818394

Optimal starting-stopping and switching of a CIR process with fixed costs

Leung, Tim; Li, Xin; Wang, Zheng - In: Risk and decision analysis 5 (2014) 2/3, pp. 149-161

Persistent link: https://www.econbiz.de/10011285058

Optimal derivative liquidation timing under path-dependent risk penalties

Leung, Tim; Shirai, Yoshihiro - In: Journal of financial engineering 2 (2015) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10010528389

Accounting for risk aversion in derivatives purchase timing

Leung, Tim; Ludkovski, Mike - In: Mathematics and financial economics 6 (2012) 4, pp. 363-386

Persistent link: https://www.econbiz.de/10009623554

Risk premia and optimal liquidation of credit derivatives

Leung, Tim; Liu, Peng - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10009707094

Pricing derivatives with counterparty risk and collateralization : a fixed point approach

Kim, Jinbeom; Leung, Tim - In: European journal of operational research : EJOR 249 (2016) 2, pp. 525-539

Persistent link: https://www.econbiz.de/10011436733

An optimal multiple stopping approach to infrastructure investment decisions

Dahlgren, Eric; Leung, Tim - In: Journal of economic dynamics & control 53 (2015), pp. 251-267

Persistent link: https://www.econbiz.de/10011526952

Impact of risk aversion and belief heterogeneity on trading of defaultable claims

Kim, Jinbeom; Leung, Tim - In: Optimization models with economic and game theoretic …, (pp. 117-146). 2016

Persistent link: https://www.econbiz.de/10011533434

Optimal mean reversion trading with transaction costs and stop-loss exit

Leung, Tim; Li, Xin - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011403754

Accounting for Risk Aversion in Derivatives Purchase Timing

Leung, Tim - 2012

We study the problem of optimal timing to buy/sell derivatives by a risk-averse agent in incomplete markets. Adopting the exponential utility indifference valuation, we investigate this timing flexibility and the associated delayed purchase premium. This leads to a stochastic control and optimal...

Persistent link: https://www.econbiz.de/10013114153