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Essays on the effects of uncertainty on corporate capital structure
Talavera, Oleksandr - 2005 - Als Ms. gedr
Persistent link: https://www.econbiz.de/10003011446
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Exchange traded funds : leverage and liquidity
March-Dallas, Samique; Daigler, Robert T.; Mishra, Suchi; … - In: Applied economics 50 (2018) 37, pp. 4054-4073
Persistent link: https://www.econbiz.de/10012060690
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Firm uncertainty and corporate policies : the role of stock return skewness
Easterwood, John C.; Paye, Bradley S.; Xie, Yutong - In: The journal of corporate finance : contracting, … 69 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10012629716
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Capital structure effects on the prices of equity call options
Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253
Persistent link: https://www.econbiz.de/10011590712
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A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
Aktar, Yalçin; Taflin, Erik - In: Mathematics and financial economics 8 (2014) 4, pp. 489-509
Persistent link: https://www.econbiz.de/10010491879
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The two-dimensional tree-grid method
Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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Super-diffusive noise source in asset dynamics
Hongler, Max-Olivier - In: Journal of mathematical finance 3 (2013) 1, pp. 53-58
Persistent link: https://www.econbiz.de/10010240227
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A class of portfolio optimization solvable problems
Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014472208
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A Stochastic Optimal Control for Max-Min Utility with Volatility Ambiguity
Yang, Shuzhen - 2014
In this paper, we study a stochastic optimal control for max-min utility admitting volatility ambiguity. By standard assumptions, we establish the dynamic programming principle and the related Hamilton-Jacobi-Bellman (HJB) equation. Finally, we show that the value function is a viscosity...
Persistent link: https://www.econbiz.de/10013048206