Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing (Q255503): Difference between revisions

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@@ Property / Mathematics Subject Classification ID: 35Q93 / rank @@
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@@ Property / zbMATH DE Number: 6552477 / rank @@
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@@ Property / zbMATH Keywords @@
+employee stock options
@@ Property / zbMATH Keywords: employee stock options / rank @@
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@@ Property / zbMATH Keywords @@
+incomplete market
@@ Property / zbMATH Keywords: incomplete market / rank @@
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@@ Property / zbMATH Keywords @@
+value function
@@ Property / zbMATH Keywords: value function / rank @@
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@@ Property / zbMATH Keywords @@
+HJB equation
@@ Property / zbMATH Keywords: HJB equation / rank @@
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@@ Property / zbMATH Keywords @@
+constrained viscosity solution
@@ Property / zbMATH Keywords: constrained viscosity solution / rank @@
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@@ Property / zbMATH Keywords @@
+optimal control
@@ Property / zbMATH Keywords: optimal control / rank @@
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@@ Property / zbMATH Keywords @@
+numerical simulation
@@ Property / zbMATH Keywords: numerical simulation / rank @@
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+https://doi.org/10.3934/dcds.2015.35.5413
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@@ Property / OpenAlex ID: W2352514974 / rank @@
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@@ Property / cites work @@
+Optimal decision for selling an illiquid stock
@@ Property / cites work: Optimal decision for selling an illiquid stock / rank @@
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@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
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@@ Property / cites work @@
+Q4086303
@@ Property / cites work: Q4086303 / rank @@
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@@ Property / cites work @@
+Q5709400
@@ Property / cites work: Q5709400 / rank @@
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@@ Property / cites work @@
+ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
+Normal rank
@@ Property / cites work @@
+Optimal exercise of executive stock options
@@ Property / cites work: Optimal exercise of executive stock options / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:255503