A free boundary problem coming from the perpetual American call options with utility
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Publication:2839199
DOI10.1017/S0956792512000393zbMath1309.91141MaRDI 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
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
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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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- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS