Optimal Strategies of the Perpetual Executive Stock Options

DOI10.3724/SP.J.1160.2013.00185zbMath1313.91191OpenAlexW2325690133MaRDI QIDQ2926912

Liping Song

Publication date: 3 November 2014

Published in: Acta Analysis Functionalis Applicata (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3724/sp.j.1160.2013.00185

zbMATH Keywords

parabolic variational inequalityoptimal exercise strategiesperpetual executive stock options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for variational inequalities and related problems (65K15)

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