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

capital guaranteed funddynamic programming principlefair option premiumstochastic exit time control

Mathematics Subject Classification ID

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

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