Real option model of dynamic growth processes with consumption

DOI10.4310/CMS.2015.V13.N8.A11MaRDI QIDQ889123zbMATH OpenOpenAlexFDO

Authors Nengsheng Fang, Xinfeng Ruan, Caixiu Liao

Publication date 6 November 2015

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/cms.2015.v13.n8.a11

zbMATH Keywords

jump diffusionasset pricingrisk premiumreal optionoptimal consumption strategy

Mathematics Subject Classification ID

Monte Carlo methods (65C05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Consumer behavior, demand theory (91B42) Integro-partial differential equations (35R09) Generalized stochastic processes (60G20) Stochastic models in economics (91B70)

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