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Optimal timing for an indivisible asset sale

Abstract:

In this paper, we investigate the pricing via utility indifference of the right to sell a non-traded asset. Consider an agent with power utility who owns a single unit of an indivisible, non-traded asset, and who wishes to choose the optimum time to sell this asset. Suppose that this right to sell forms just part of the wealth of the agent, and that other wealth may be invested in a complete frictionless market. We formulate the problem as a mixed stochastic control/optimal stopping problem, ...

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Publication status:
Published

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Institution:
University of Oxford
Division:
SSD
Department:
Divisional Administration
Sub department:
Oxford-Man Institute
Role:
Author
Journal:
MATHEMATICAL FINANCE
Volume:
18
Issue:
4
Pages:
545-567
Publication date:
2008-10-01
DOI:
EISSN:
1467-9965
ISSN:
0960-1627
Source identifiers:
245385
Language:
English
Keywords:
Pubs id:
pubs:245385
UUID:
uuid:54bdbc48-8c12-4cdb-94e8-62dc7063ae47
Local pid:
pubs:245385
Deposit date:
2012-12-19

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