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Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
File(s)
Author(s)
Bian, B
Hu, S
Yuan, Q
Zhang, H
Type
Journal Article
Date Issued
2015-05-31
Date Acceptance
2015-05-31
Citation
Discrete and Continuous Dynamical Systems, 2015, 35 (11), pp.5413-5433
URI
DOI
ISSN
1553-5231
Publisher
American Institute of Mathematical Sciences (AIMS)
Start Page
5413
End Page
5433
Journal / Book Title
Discrete and Continuous Dynamical Systems
Volume
35
Issue
11
Copyright Statement
© American Institute of Mathematical Sciences 2015. This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Discrete and Continuous Dynamical Systems following peer review. The definitive publisher-authenticated version is available online at: http://dx.doi.org/10.3934/dcds.2015.35.5413
Subjects
Science & Technology
Physical Sciences
Mathematics, Applied
Mathematics
Employee stock options
incomplete market
value function
HJB equation
constrained viscosity solution
optimal control
numerical simulation
VALUATION
EXERCISE
Applied Mathematics
0101 Pure Mathematics
0102 Applied Mathematics
Publication Status
Published