Continuously controlled options: derivatives with added flexibility

QR Code

Continuously controlled options: derivatives with added flexibility

The paper introduces special options such that the holder selects dynamically a continuous time process controlling the distribution of the payments (benefits) over time. For instance, the holder can select dynamically the quantity of a commodity purchased or sold by a fixed price given constraints...

Full description

Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	World Scientific 2013
Subjects:	controlled options knapsack problem exotic options HJB equation stochastic control continuous time market
Online Access:	http://hdl.handle.net/20.500.11937/18368

Similar Items

Multiple rescindable options and their pricing
by: Dokuchaev, Nikolai
Published: (2009)

A first-order BSPDE for swing option pricing
by: Bender, C., et al.
Published: (2014)

A First-Order BSPDE for Swing Option Pricing: Classical Solutions
by: Bender, C., et al.
Published: (2017)

A numerical method for pricing European options with proportional transaction costs
by: Li, W., et al.
Published: (2014)

Option pricing for rough Heston model using numerical methods
by: Siow, Woon Jeng
Published: (2021)

Topics in financial and computational mathematics
by: Maurer, Simon
Published: (2021)

The Real Option Approach for Strategic Acquisitions: A Case Study of Fubon Acquiring IBA
by: Huang, Hui Chien
Published: (2005)

Application of Real Option Valuation to Real Estate Investment Appraisal-- A Case Study
by: Lu, Yisha
Published: (2007)

Degenerate backward SPDEs in bounded domains and applications to barrier options
by: Dokuchaev, Nikolai
Published: (2015)

Review of Option Pricing Literature and An Online Real-Time Option Pricing Application Development
by: Liu, Shu
Published: (2007)

A neural network approach to option pricing
by: Mostafa, Fahed, et al.
Published: (2008)

Traditional Models and Real option Application for Companies' Merger and Acquisition -A Case Study of Acer Acquiring Gateway
by: ZHOU, SI
Published: (2007)

Advancing the quadrature method in option pricing
by: Su, Haozhe
Published: (2018)

Real Option Approach to R&D Project Valuation
by: song, shaorong
Published: (2006)

Real Option Approach to R&D Project Valuation
by: song, shaorong
Published: (2006)

Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)

Application of Real Option Analysis to Pharmaceutical R&D Project
by: ZHAI, JIN
Published: (2007)

Option pricing and risk management: analytic approaches with GARCH-Lévy dynamics
by: Mozumder, Md. Sharif Ullah
Published: (2011)

Convergence analysis of power penalty method for American bond option pricing
by: Zhang, K., et al.
Published: (2013)

A numerical study for a mining project using real options valuation under commodity price uncertainty
by: Haque, M, et al.
Published: (2014)

Rational Pricing of Internet Companies Operating in Emerging Market
by: Lau, Yue Ming Alan
Published: (2008)

Algorithms for some hard knapsack problems
by: Kulanoot, Araya
Published: (2000)

Analysis of market volatility via a dynamically purified option price process
by: Luong, C., et al.
Published: (2014)

Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods
by: Kanthamanond, Piti
Published: (2009)

Option pricing via maximization over uncertainty and correction of volatility smile
by: Dokuchaev, Nikolai
Published: (2011)

Non-transferable non-hedgeable executive stock option pricing
by: Colwell, D., et al.
Published: (2015)

Optimality of myopic strategies for multi-stock discrete time market with management costs
by: Dokuchaev, Nikolai
Published: (2010)

Valuation With Real Opions and Games
by: alyanak, tunc
Published: (2007)

Effects of Malaysian employee stock option scheme on stock liquidity, productivity, and earnings management of listed firms
by: Katan, Maheran
Published: (2012)

Discrete time market with serial correlations and optimal myopic strategies.
by: Dokuchaev, Nikolai
Published: (2007)

Mutual fund theorem for continuous time markets with random coefficients
by: Dokuchaev, Nikolai
Published: (2013)

Parabolic Ito equations with mixed in time conditions
by: Dokuchaev, Nikolai
Published: (2011)

Currency option pricing and realised volatility
by: Manzur, Meher, et al.
Published: (2010)

Forecasting Volatility and Analyzing the Features of Volatility by three different methods- empirical study based on SSE 50ETF
by: Zou, YuanFang
Published: (2019)

On limit periodicity of discrete time stochastic processes
by: Rodkina, A., et al.
Published: (2014)

Application of Real Option Approach in China Real Estate Development-A case study
by: Chen, Lu
Published: (2007)

Climate Change Policy: The Effect of Real Options Valuation on the Optimal Mitigation-Adaptation Balance
by: Maybee, Bryan, et al.
Published: (2012)

Option valuation under no-arbitrage constraints with neural networks
by: Cao, Yi, et al.
Published: (2021)

Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation.
by: Dokuchaev, Nikolai
Published: (2006)

On strong causal binomial approximation for stochastic processes
by: Dokuchaev, Nikolai
Published: (2014)

Cannot write session to /tmp/vufind_sessions/sess_t1nmqr0e34rmg8sp5k4pv27nbe