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VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
Jobert, A.; Rogers, L.C.G. - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10008221373
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Optimal exercise of executive stock options
Rogers, L.C.G.; Scheinkman, José - In: Finance and stochastics 11 (2007) 3, pp. 357-372
Persistent link: https://www.econbiz.de/10008221759
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DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
Klein, I.; Rogers, L.C.G. - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 225-248
Persistent link: https://www.econbiz.de/10008221957
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MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
Çetin, Umut; Rogers, L.C.G. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 15-30
Persistent link: https://www.econbiz.de/10008222127
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THE SQUARED ORNSTEIN-UHLENBECK MARKET
aquilina, J.; rogers, L.C.G. - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 487-514
Persistent link: https://www.econbiz.de/10008223324
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Does the behaviour of the asset tell us anything about the option price formula? A cautionary tale
Rogers, L.C.G.; Satchell, S.E. - In: Applied financial economics 10 (2000) 1, pp. 37-40
Persistent link: https://www.econbiz.de/10007681342
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Estimating the volatility of stock prices: a comparison of methods that use high and low prices
Rogers, L.C.G.; Satchell, S.E.; Yoon, Y. - In: Applied financial economics 4 (1994) 3, pp. 241
Persistent link: https://www.econbiz.de/10007712670
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TWO-SECTOR STOCHASTIC GROWTH MODELS link rid="fn1">*
Hartley, P.M.; Rogers, L.C.G. - In: Australian economic papers 44 (2005) 4, pp. 322-351
Persistent link: https://www.econbiz.de/10006423476
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Geometric Indices: A Theory of Hedging and Econometric Analysis with Applications to the UK Stock Market.
Rogers, L.C.G.; Satchell, S.E.; Yoon, Y. - Faculty of Economics, University of Cambridge - 1993
Persistent link: https://www.econbiz.de/10005650532
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Modeling liquidity effects in discrete time
Cetin, Umut; Rogers, L.C.G. - London School of Economics (LSE) - 2007
We study optimal portfolio choices for an agent with the aim of maximising utility from terminal wealth within a market with liquidity costs. Under some mild conditions, we show the existence of optimal portfolios and that the marginal utility of the optimal terminal wealth serves as a change of...
Persistent link: https://www.econbiz.de/10010746632