Solving Free-boundary Problems with Applications in Finance (Q3530805)

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Solving Free-boundary Problems with Applications in Finance
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    title
    Solving Free-boundary Problems with Applications in Finance (English)
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    DOI
    10.1561/0900000006
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    author
    Kumar Muthuraman
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    Sunil Kumar
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    publication date
    20 October 2008
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    Mathematics Subject Classification ID
    91B28
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    93E20
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    35R35
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    zbMATH DE Number
    5354494
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    zbMATH Keywords
    stochastic control
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    free-boundary
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    portfolio optimization
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    american options
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