Browsing NHH Brage by Subject "incomplete markets"
Now showing items 1-3 of 3
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Evolutionary stable investment in stock markets
(Discussion paper, Working paper, 2003-10)This paper studies the performance of portfolio rules in incomplete markets for long-lived assets with endogenous prices. The dynamics of wealth shares in the process of repeated reinvestment of wealth is modelled as a ... -
The perpetual American put option for jump-diffusions : implications for equity premiums
(Discussion paper, Working paper, 2004-12)In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American ... -
The perpetual American put option for jump-diffusions with applications
(Discussion paper, Working paper, 2005-11)In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American ...