Option on a unit-type closed-end investment fund

DOI10.1007/4-431-34342-3_1MaRDI QIDQ3564002zbMATH OpenOpenAlexFDO

Authors Takashi Adachi

Publication date 2 June 2010

Published in Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/4-431-34342-3_1

zbMATH Keywords

dynamic programming principlecapital guaranteed fundfair option premiumstochastic exit time control

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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