Heterogeneous information arrival and R\& D option pricing.

DOI10.1016/S0252-9602(17)30153-4zbMath1045.91015OpenAlexW2783563987MaRDI QIDQ1871522

Culin Li, Minggao Xue

Publication date: 2003

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(17)30153-4

zbMATH Keywords

option pricingcompound optionR\&D doubly stochastic Poisson process

Mathematics Subject Classification ID

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

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