9 citations · 44 across the 41 of their papers we have counts for
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math.OC2021★ 1 cited
Optimal Dividends under Model Uncertainty
Prakash Chakraborty, Asaf Cohen, Virginia R. Young
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value…
math.OC2021
Optimal ergodic harvesting under ambiguity
Asaf Cohen, Alexandru Hening, Chuhao Sun
We consider an ergodic harvesting problem with model ambiguity that arises from biology. To account for the ambiguity, the problem is constructed as a stochastic game with two play…
math.PR2021
A Scaling Limit for Utility Indifference Prices in the Discretized Bachelier Model
Asaf Cohen, Yan Dolinsky
We consider the discretized Bachelier model where hedging is done on an equidistant set of times. Exponential utility indifference prices are studied for path-dependent European op…