The valuation of American passport options: a viscosity solution approach

DOI10.1007/s10957-018-1411-5zbMath1419.91631MaRDI QIDQ1730402

Yang Wang, Jizhou Zhang, Baojun Bian, Zi-Jiang Yang

Publication date: 6 March 2019

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

Full work available at URL: https://doi.org/10.1007/s10957-018-1411-5

zbMATH Keywords

uniqueness; viscosity solution; optimal exercise boundary; American passport option; convexity-preserving property

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

Cites Work

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