Advanced search
Publication Cover
Applicable Analysis
An International Journal
Volume 93, 2014 - Issue 3
Submit an article Journal homepage
89
Views
0
CrossRef citations to date
0
Altmetric
Articles

Investment, consumption and hedging with lump-sum payoff in finite horizon under incomplete market

Xiaoshan ChenSchool of Mathematical Sciences, South China Normal University, Guangzhou 510631, China.
&
Fahuai YiSchool of Mathematical Sciences, South China Normal University, Guangzhou 510631, China.Correspondence[email protected]
Pages 583-596 | Received 12 Sep 2012, Accepted 14 Mar 2013, Published online: 22 Apr 2013

References

  • Myers SC. Determinants of corporate borrowing. Journal of Financial Economics. 1977;5(2):147–176.
  • Brennan MJ, Schwartz ES. Evaluating natural resource investments. Journal of Business. 1985;58(2):135–157.
  • McDonald R, Siegel DR. The value of waiting to invest. The Quarterly Journal of Economics. 1986;101:707–727.
  • Dixit A, Pindyck R. Investment under uncertainty. Princeton: Princeton University Press; 1994.
  • Miao J, Wang N. Investment, consumption and hedging under incomplete markets. Journal of Financial Economics. 2007;86:608–642.
  • Friedman A. Partial differential equations of parabolic type. Englewood Cliffs (NJ): Printice-Hall; 1964.
  • Friedman A. Parabolic variational inequalities in one space dimension and smoothness of the free boundary. Journal of Functional Analysis. 1975;18:151–176.
  • Shreve SE. Stochastic calculus for finance II, continuous-time models. Beijing: Springer-Verlag; 2007.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.