CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY

DOI10.1142/S0219024913500039zbMath1275.91131arXiv1012.1412MaRDI QIDQ4916240

Nikolai G. Dokuchaev

Publication date: 22 April 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.1412

zbMATH Keywords

stochastic controlknapsack problemHJB equationexotic optionscontinuous-time marketcontrolled options

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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