A free boundary problem coming from the perpetual American call options with utility

DOI10.1017/S0956792512000393zbMath1309.91141OpenAlexW2146403493MaRDI QIDQ2839199

Song Liping, Yu Wanghui

Publication date: 4 July 2013

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0956792512000393

zbMATH Keywords

free boundary problemutility functionAmerican call options

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Asymptotic behavior of optimal exercise strategy for a small number of executive stock options ⋮ Mathematical analysis of a variational inequality modelling perpetual executive stock options

Cites Work

• Unnamed Item
• A parabolic variational inequality related to the perpetual American executive stock options
• Variational inequalities and the pricing of American options
• Optimal exercise of executive stock options
• Continuous-time stochastic control and optimization with financial applications
• Risk aversion and block exercise of executive stock options
• Controlled Markov processes and viscosity solutions
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

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