Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing

DOI10.3934/dcds.2015.35.5413zbMath1335.35041OpenAlexW2352514974MaRDI QIDQ255503

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

zbMATH Keywords

optimal controlincomplete marketnumerical simulationHJB equationvalue functionconstrained viscosity solutionemployee stock options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Boundary value problems for second-order elliptic equations (35J25) Degenerate elliptic equations (35J70) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40) PDEs in connection with control and optimization (35Q93)

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