Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs

DOI10.1007/s10957-009-9559-7zbMath1180.91291OpenAlexW2087099404WikidataQ59416190 ScholiaQ59416190MaRDI QIDQ1039367

Songgui Wang, Wen Li

Publication date: 27 November 2009

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-009-9559-7

zbMATH Keywords

optimal controlviscosity solutionpartial differential equationpenalty approachEuropean option pricing

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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