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Authors: Sofronov, Georgy
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/216703
Description: We consider a sequential problem of selling K identical assets over the finite time horizon with a fixed number of offers per time period and no recall of past offers. The objective is to find an opti ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212851
Description: In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time. ... More
Reviewed: Reviewed
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