Convex duality in optimal investment and contingent claim valuation in illiquid markets.

Teemu Pennanen Ari-Pekka Perkkiö

Published in: Finance Stochastics (2018)

Keyphrases

real option
globally optimal
piecewise linear
linear programming
optimal solution
market data
dynamic programming
decision making
closed form
convex optimization
optimal strategy
long run
investment strategies
market clearing