Viscosity solutions of HJB equations arising from the valuation of European passport options
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Publication:622505
DOI10.1016/S0252-9602(10)60036-7zbMath1224.91148MaRDI QIDQ622505
Baojun Bian, Yang Wang, Jizhou Zhang
Publication date: 5 February 2011
Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0252-9602(10)60036-7
91G20: Derivative securities (option pricing, hedging, etc.)
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
35D40: Viscosity solutions to PDEs
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