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The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations

Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158

Persistent link: https://www.econbiz.de/10013489501

The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II : existence, uniqueness and verification for θ ∈ (0, 1)

Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 159-188

Persistent link: https://www.econbiz.de/10013489503

Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization

Henderson, Vicky - 2020

We study Cautious Stochastic Choice (CSC) agents facing optimal timing decisions in a dynamic setting. In an expected utility setting, the optimal strategy is always a threshold strategy - to stop/sell the first time the price process exits an interval. In contrast, we show that in the CSC...

Persistent link: https://www.econbiz.de/10012852914

Robust price bounds for the forward starting straddle

Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214

Persistent link: https://www.econbiz.de/10011417160

Gambling in contests modelled with diffusions

Feng, Han; Hobson, David G. - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 1, pp. 21-37

Persistent link: https://www.econbiz.de/10010513466

Gambling in contests with regret

Feng, Han; Hobson, David G. - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 674-695

Persistent link: https://www.econbiz.de/10011583789

Things we think we know

Rogers, Leonard C. G. - In: Options - 45 years since the publication of the …, (pp. 173-184). 2023

Persistent link: https://www.econbiz.de/10014366597