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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 84, 2012 - Issue 5-6: The Mark H.A. Davis festschrift: stochastics, control and finance
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Original Articles

Forward indifference valuation of American options

Tim Leung IEOR Department, Columbia University, New York, NY, 10027, USACorrespondence[email protected]
,
Ronnie Sircar ORFE Department, Princeton University, E-Quad, Princeton, NJ, 08544, USA
&
Thaleia Zariphopoulou The Oxford-Man Institute of Quantitative Finance and Mathematical Institute, University of Oxford, Oxford, UK; Department of Mathematics, The University of Texas at Austin, Austin, TX, 78712, USA; Department of Information, Risk and Operations Management, The University of Texas at Austin, Austin, TX, 78712, USA
Pages 741-770 | Received 23 Aug 2010, Accepted 14 May 2012, Published online: 19 Jun 2012

Citations (14)

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Matthew Lorig & Bin Zou. (2021) Bond indifference prices. Quantitative Finance 21:7, pages 1223-1233.
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Articles from other publishers (13)

Michail Anthropelos, Tianran Geng & Thaleia Zariphopoulou. (2022) Competition in Fund Management and Forward Relative Performance Criteria. SIAM Journal on Financial Mathematics 13:4, pages 1271-1301.
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Gonçalo dos Reis & Vadim Platonov. (2022) Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players. SIAM Journal on Financial Mathematics 13:3, pages 844-876.
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Juan Li, Wenqiang Li & Gechun Liang. (2021) A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models. SIAM Journal on Financial Mathematics 12:3, pages 867-897.
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Vicky Henderson, Kamil Kladívko, Michael Monoyios & Christoph Reisinger. (2020) Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point. SIAM Journal on Financial Mathematics 11:4, pages 1007-1062.
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Klebert Kentia & Christoph Kühn. (2018) Nash Equilibria for Game Contingent Claims with Utility-Based Hedging. SIAM Journal on Control and Optimization 56:6, pages 3948-3972.
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Gechun Liang & Thaleia Zariphopoulou. (2017) Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE. SIAM Journal on Financial Mathematics 8:1, pages 344-372.
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Tim Leung & Yoshihiro Shirai. (2015) Optimal derivative liquidation timing under path-dependent risk penalties. Journal of Financial Engineering 02:01, pages 1550004.
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Michail Anthropelos. (2014) Forward Exponential Performances: Pricing and Optimal Risk Sharing. SIAM Journal on Financial Mathematics 5:1, pages 626-655.
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Michael Monoyios. (2013) Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems. SIAM Journal on Financial Mathematics 4:1, pages 884-915.
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TIM LEUNG & PENG LIU. (2013) RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES. International Journal of Theoretical and Applied Finance 15:08, pages 1250059.
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Gechun Liang & Thaleia Zariphopoulou. (2016) Representation of Homothetic Forward Performance Processes in Stochastic Factor Models Via Ergodic and Infinite Horizon BSDE. SSRN Electronic Journal.
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Tim S. T. Leung & Yoshihiro Shirai. (2013) Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties. SSRN Electronic Journal.
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Tim Siu-Tang Leung & Peng Liu. (2011) Risk Premia and Optimal Liquidation of Defaultable Securities. SSRN Electronic Journal.
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