Viscosity solutions of HJB equations arising from the valuation of European passport options

DOI10.1016/S0252-9602(10)60036-7zbMath1224.91148OpenAlexW2064180777MaRDI QIDQ622505

Baojun Bian, Yang Wang, Jizhou Zhang

Publication date: 5 February 2011

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(10)60036-7

zbMATH Keywords

uniquenessviscosity solutionHJB equationconvexity preservingpassport option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40)

Related Items (3)

The valuation of American passport options: a viscosity solution approach ⋮ Pricing European passport option with radial basis function ⋮ Pricing and estimates of Greeks for passport option: A three time level approach

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