Option Pricing in the Large Risk Aversion, Small Transaction Cost Limit

DOI10.1080/03605302.2014.929145zbMath1304.35701arXiv1102.3516OpenAlexW2065816130MaRDI QIDQ2931975

Ryan Hynd

Publication date: 28 November 2014

Published in: Communications in Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.3516

zbMATH Keywords

singular perturbationfree boundary problemstochastic singular control

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Nonlinear parabolic equations (35K55) Singular perturbations in context of PDEs (35B25) Optimal stochastic control (93E20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Controlled Markov processes and viscosity solutions
• User’s guide to viscosity solutions of second order partial differential equations
• European Option Pricing with Transaction Costs
• The perturbed test function method for viscosity solutions of nonlinear PDE
• Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control
• The Eigenvalue Problem of Singular Ergodic Control

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