Pricing early exercise contracts in incomplete markets
DOI10.1007/S10287-003-0005-2zbMATH Open1115.93359OpenAlexW2026807577MaRDI QIDQ2386628FDOQ2386628
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
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Hamilton-Jacobi-Bellman equationsnonlinear asset pricingearly exercise contractsnontraded assetsquasilinear variational inequalitiesutility maximization with discretionary stopping
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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