Time consistent pricing of options with embedded decisions
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-019-09158-9.pdf
Reference28 articles.
1. Ahn, H., Penaud, A., & Wilmott, P. (1999). Various passport options and their valuation. Applied Mathematical Finance, 6(4), 275–292.
2. Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203–228.
3. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D., & Ku, H. (2007). Coherent multiperiod risk adjusted values and Bellman’s principle. Annals of Operations Research, 152(1), 5–22.
4. Boda, K., & Filar, J. A. (2006). Time consistent dynamic risk measures. Mathematical Methods of Operations Research, 63(1), 169–186.
5. Brennan, M., & Schwartz, E. (1977). The valuation of American put options. Journal of Finance, 32(2), 449–462.
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