Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
DOI10.3934/DCDS.2015.35.5413zbMATH Open1335.35041OpenAlexW2352514974MaRDI QIDQ255503FDOQ255503
Baojun Bian, Shuntai Hu, Harry Zheng, Quan Yuan
Publication date: 9 March 2016
Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcds.2015.35.5413
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constrained viscosity solutionemployee stock optionsHJB equationincomplete marketnumerical simulationoptimal controlvalue function
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40) Boundary value problems for second-order elliptic equations (35J25) Degenerate elliptic equations (35J70) PDEs in connection with control and optimization (35Q93)
Cites Work
- Optimal exercise of executive stock options
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- User’s guide to viscosity solutions of second order partial differential equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- Optimal decision for selling an illiquid stock
Cited In (2)
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