Utility Maximization When Shorting American Options-Reference-Cited by-同舟云学术

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Utility Maximization When Shorting American Options

Published:2021-01 Issue:1 Volume:12 Page:47-78
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Zhou Zhou

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/20M1320584

Reference13 articles.

1. The robust pricing-hedging duality for American options in discrete time financial markets

2. On the Multidimensional Controller-and-Stopper Games

3. Optimal stopping for non-linear expectations—Part II

4. On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options

5. Arbitrage, hedging and utility maximization using semi-static trading strategies with American options

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS;International Journal of Theoretical and Applied Finance;2022-01-20

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