zbMath1413.91098MaRDI QIDQ4688766
Sulei Ji, Yi Fu, Jizhou Zhang
Publication date: 22 October 2018
zbMATH Keywords
Hamilton-Jacobi-Bellman equation; Green function; utility indifference pricing; executive stock option
Mathematics Subject Classification ID
91B16: Utility theory
91G20: Derivative securities (option pricing, hedging, etc.)