We study an optimal consumption-portfolio selection problem in which an economic agent is able to choose a discretionary stopping time in a continuous-time framework. We focus on studying the problem for the case where the agent’s preference changes around the stopping time. We obtain the...

This paper studies the consumption and portfolio selection problem of an agent who is liquidity constrained and has uninsurable income risk in a discrete time setting. It gives properties of optimal policies and presents numerical solutions. The paper, in particular, shows that liquidity...

We apply a meshfree method using the fast moving least squares approximation to option pricing, particularly for the purpose of obtaining high-order Greeks. The method is shown to be accurate and efficient in obtaining prices and Greeks of European, Asian and Barrier options. We also include a...