Showing 51 - 60 of 163
In this paper we consider a class of mixed optimal control/optimal stopping problems related to the choice of the best time to sell a single unit of an indivisible asset. We assume that in addition to the indivisible asset, the agent has access to a financial market. Investments in the financial...
Persistent link: https://www.econbiz.de/10008874916
Persistent link: https://www.econbiz.de/10005921830
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the decision over when to sell, the agent has to choose a...
Persistent link: https://www.econbiz.de/10005099421
A canonical problem in real option pricing, as described in the classic text of Dixit and Pindyck [2], is to determine the optimal time to invest at a fixed cost, to receive in return a stochastic cashflow. In this paper we are interested in this problem in an incomplete market where the...
Persistent link: https://www.econbiz.de/10005060224
Persistent link: https://www.econbiz.de/10005023782
This paper investigates option prices in an incomplete stochastic volatility model with correlation. In a general setting, we prove an ordering result which says that prices for European options with convex payoffs are decreasing in the market price of volatility risk. As an example, and as our...
Persistent link: https://www.econbiz.de/10005730032
This paper investigates option prices in an incomplete stochastic volatility model with correlation. In a general setting, we prove an ordering result which says that prices for European options with convex payoffs are decreasing in the market price of volatility risk. As an example, and as our...
Persistent link: https://www.econbiz.de/10005709814
A passport option, as introduced and marketed by Bankers Trust, is a call option on the balance of a trading account. The strategy that this account follows is chosen by the option holder, subject to position limits. <p>We derive a simplified form for the price of the passport option using local...</p>
Persistent link: https://www.econbiz.de/10005184375
This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient...
Persistent link: https://www.econbiz.de/10005212094
Persistent link: https://www.econbiz.de/10008216763