A free boundary problem coming from the perpetual American call options with utility
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Publication:2839199
DOI10.1017/S0956792512000393zbMath1309.91141OpenAlexW2146403493MaRDI QIDQ2839199
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
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (2)
Asymptotic behavior of optimal exercise strategy for a small number of executive stock options ⋮ Mathematical analysis of a variational inequality modelling perpetual executive stock options
Cites Work
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- A parabolic variational inequality related to the perpetual American executive stock options
- Variational inequalities and the pricing of American options
- Optimal exercise of executive stock options
- Continuous-time stochastic control and optimization with financial applications
- Risk aversion and block exercise of executive stock options
- Controlled Markov processes and viscosity solutions
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
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