A free boundary problem coming from the perpetual American call options with utility

DOI10.1017/S0956792512000393zbMath1309.91141MaRDI QIDQ2839199

Song Liping, Yu Wanghui

Publication date: 4 July 2013

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0956792512000393

zbMATH Keywords

free boundary problem; utility function; American call options

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

35R35: Free boundary problems for PDEs

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

Related Items

Mathematical analysis of a variational inequality modelling perpetual executive stock options, Asymptotic behavior of optimal exercise strategy for a small number of executive stock options

Cites Work

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