Blar i Articles (FOR) på forfatter "Aase, Knut K."
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Existence And Uniqueness Of Equilibrium In a Reinsurance Syndicate
Aase, Knut K. (Journal article; Peer reviewed, 2010)In this paper we consider a reinsurance syndicate, assuming that Pareto optimal allocations exist. Under a continuity assumption on preferences, we show that a competitive equilibrium exists and is unique. Our conditions ... -
Recursive utility using the stochastic maximum principle
Aase, Knut K. (Journal article; Peer reviewed, 2016)Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum ... -
Strategic insider trading equilibrium: A filter theory approach
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Journal article; Peer reviewed, 2012)The continuous-time version of Kyle’s (Econometrica 53(6):1315–1336, 1985 ) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity ... -
The Perpetual American Put Option for Jump-Diffusions
Aase, Knut K. (Journal article; Peer reviewed, 2010)We solve a specific optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. The novelty of the paper is related to the inclusion of a jump component in this stochastic ...