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Optimal stopping under ambiguity
Riedel, Frank (contributor) - 2007
induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of … optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super …
Persistent link: https://www.econbiz.de/10003731193
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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
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On agent's agreement and partial-equilibrium pricing in incomplete markets
Anthropelos, Michail; Žitkovi´c, Gordan - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 411-446
Persistent link: https://www.econbiz.de/10008667062
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Anonymity and individual risk
Labadie, Pamela - In: Journal of economic theory 144 (2009) 6, pp. 2440-2453
Persistent link: https://www.econbiz.de/10003938064
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Essays on risk aversion
Paan Jindapon - 2006
Persistent link: https://www.econbiz.de/10003972272
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010
estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for …
Persistent link: https://www.econbiz.de/10003952791
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Nonparametric estimation of risk-neutral densities
Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010
This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...
Persistent link: https://www.econbiz.de/10003953034
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Equity derivatives markets
Detlefsen, Kai - 2007
Persistent link: https://www.econbiz.de/10003673889
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American options with multiple priors in continuous time
Vorbrink, Jörg - 2011
uncertainty. Using the theory of (reflected) backward stochastic differential equations we are able to solve the optimal stopping …
Persistent link: https://www.econbiz.de/10008990920
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Viewpoint: option prices, preferences, and state variables
Garcia, René; Luger, Richard; Renault, Eric - In: The Canadian journal of economics 38 (2005) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10002654852