3 citations · 3 across the 6 of their papers we have counts for
3 papers · 1 filter
Stability of the Epstein-Zin problem
Michael Monoyios, Oleksii Mostovyi
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, whe…
Duality for optimal consumption with randomly terminating income
Ashley Davey, Michael Monoyios, Harry Zheng
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that…
Executive stock option exercise with full and partial information on a drift change point
Vicky Henderson, Kamil Kladívko, Michael Monoyios +1
We analyse the optimal exercise of an executive stock option (ESO) written on a stock whose drift parameter falls to a lower value at a change point, an exponentially distributed r…