Pricing early exercise contracts in incomplete markets
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Publication:2386628
DOI10.1007/s10287-003-0005-2zbMath1115.93359OpenAlexW2026807577MaRDI QIDQ2386628
Thaleia Zariphopoulou, Adam M. Oberman
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
Hamilton-Jacobi-Bellman equationsnonlinear asset pricingearly exercise contractsnontraded assetsquasilinear variational inequalitiesutility maximization with discretionary stopping
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