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The swing option on the stock market
Dahlgren, Martin; Korn, Ralf - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 123-139
Persistent link: https://www.econbiz.de/10002625828
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Optimal sale strategies in illiquid markets
Dahlgren, Martin - In: Computational Statistics 61 (2005) 2, pp. 173-190
The value of a position in a risky asset when optimally sold in an illiquid market is considered. The optimization problem is described as a stochastic impulse control problem, and it is shown that it is related to solving a system of quasi-variational inequalities. Existence of a solution to...
Persistent link: https://www.econbiz.de/10010759121
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Optimal sale strategies in illiquid markets
Dahlgren, Martin - In: Mathematical Methods of Operations Research 61 (2005) 2, pp. 173-190
The value of a position in a risky asset when optimally sold in an illiquid market is considered. The optimization problem is described as a stochastic impulse control problem, and it is shown that it is related to solving a system of quasi-variational inequalities. Existence of a solution to...
Persistent link: https://www.econbiz.de/10010949915
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Optimal sale strategies in illiquid markets
Dahlgren, Martin - In: Mathematical methods of operations research 61 (2005) 2, pp. 173-190
Persistent link: https://www.econbiz.de/10006607249
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Portfolio optimization with strictly positive transaction costs and impulse control
Korn, Ralf - 1994
Persistent link: https://www.econbiz.de/10000903142
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Value preserving portfolio strategies and the minimal martingale measure
Korn, Ralf - 1996
Persistent link: https://www.econbiz.de/10000954695
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A general framework for hedging and speculating with options
Korn, Ralf - 1997
Persistent link: https://www.econbiz.de/10000960260
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Some applications of L 2-hedging with a non-negative wealth process
Korn, Ralf - In: Applied mathematical finance 4 (1997) 1, pp. 65-79
Persistent link: https://www.econbiz.de/10001226739
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Value preserving portfolio strategies in continuous-time models
Korn, Ralf - In: Mathematical methods of operations research 45 (1997) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10001217618
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Portfolio optimisation with strictly positive transaction costs and impulse control
Korn, Ralf - In: Finance and stochastics 2 (1998) 2, pp. 85-114
Persistent link: https://www.econbiz.de/10001235411