Pricing early exercise contracts in incomplete markets

DOI10.1007/S10287-003-0005-2MaRDI QIDQ2386628zbMATH OpenOpenAlexFDO

Authors Adam Oberman, Thaleia Zariphopoulou

Publication date 25 August 2005

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-003-0005-2

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsnonlinear asset pricingearly exercise contractsnontraded assetsquasilinear variational inequalitiesutility maximization with discretionary stopping

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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