Viscosity solutions of HJB equations arising from the valuation of European passport options (Q622505)

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Viscosity solutions of HJB equations arising from the valuation of European passport options
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    title
    Viscosity solutions of HJB equations arising from the valuation of European passport options (English)
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    author
    Baojun Bian
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    Yang Wang
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    Jizhou Zhang
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    publication date
    5 February 2011
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    Mathematics Subject Classification ID
    91G20
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    35D40
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    49L25
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    zbMATH DE Number
    5847159
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    zbMATH Keywords
    passport option
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    HJB equation
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    viscosity solution
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    uniqueness
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    convexity preserving
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