Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing (Q255503): Difference between revisions
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| 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 / rank | |||
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| Property / cites work: Q4086303 / rank | |||
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| 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 / rank | |||
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| Property / cites work: Optimal exercise of executive stock options / rank | |||
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Latest revision as of 14:45, 11 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing |
scientific article |
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Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing (English)
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9 March 2016
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employee stock options
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incomplete market
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value function
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HJB equation
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constrained viscosity solution
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optimal control
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numerical simulation
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