32 citations · 44 across the 14 of their papers we have counts for
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q-fin.PM2011★ 1 cited
Optimal investment with intermediate consumption and random endowment
Oleksii Mostovyi
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key ass…
q-fin.PM2011
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
Oleksii Mostovyi
We consider a problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and…
q-fin.CP2011
On the Stability the Least Squares Monte Carlo
Oleksii Mostovyi
Consider Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the project…