Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367)
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scientific article; zbMATH DE number 5640242
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| English | Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs |
scientific article; zbMATH DE number 5640242 |
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Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (English)
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27 November 2009
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penalty approach
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European option pricing
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optimal control
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partial differential equation
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viscosity solution
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0.8823362588882446
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0.8773085474967957
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0.8591304421424866
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0.8371949195861816
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0.8189540505409241
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