haku: @author Sundaresan, S. / yhteensä: 6
viite: 2 / 6
| Tekijä: | Detemple, J. Sundaresan, S. |
| Otsikko: | Nontraded asset valuation with portfolio constraints: a binomial approach |
| Lehti: | Review of Financial Studies
1999 : SPECIAL, VOL. 12:4, p. 835-872 |
| Asiasana: | FINANCE ASSET VALUATION PORTFOLIO MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | The authors provide a simple binominal framework to value American-style derivatives subject to trading restrictions. The optimal investment of liquid wealth is solved simultaneously with the early exercise decision of the non-traded derivative. No-short-sales constraints on the underlying asset manifest themselves in the form of an implicit dividend yield in the risk-neutralized process for the underlying asset. |
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