Optimal Timing to Purchase Options
نویسندگان
چکیده
منابع مشابه
Optimal Timing to Purchase Options
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the investor and the market value the options by risk-neutral expectations but under different equivalent martingale measures representing different market views. The ...
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Article history: Received 25 November 2013 Received in revised form 17 June 2015 Available online 13 July 2015 JEL classification: O33 O31 E22
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2011
ISSN: 1945-497X
DOI: 10.1137/100809386