Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing (Q255503)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing |
scientific article; zbMATH DE number 6552477
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing |
scientific article; zbMATH DE number 6552477 |
Statements
Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing (English)
0 references
9 March 2016
0 references
employee stock options
0 references
incomplete market
0 references
value function
0 references
HJB equation
0 references
constrained viscosity solution
0 references
optimal control
0 references
numerical simulation
0 references
