• Evolutionary stable investment in stock markets 

      Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (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 

      Aase, Knut K. (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 

      Aase, Knut K. (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 ...