Linghui Kong

Soochow University

No. 1 Shizi Street

Taipei, Jiangsu 215006

Taiwan

  • Soochow University

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Realization Utility with Path-Dependent Reference Points

Forthcoming, SIAM Journal on Financial Mathematics
Number of pages: 50 Posted: 12 Apr 2021 Last Revised: 08 Jun 2022
Linghui Kong, Cong Qin and Xingye Yue
Soochow University, Soochow University and Soochow University
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Abstract:

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Realization Utility, Path-Dependent Reference Points, Variational Inequality, Penalty Method