Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point

DOI10.1137/18M1222909zbMath1455.91257arXiv1709.10141OpenAlexW3095338556MaRDI QIDQ5144184

Kamil Kladívko, Michael Monoyios, Vicky Henderson, Christoph Reisinger

Publication date: 15 January 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.10141

zbMATH Keywords

optimal stoppingAmerican optionsfree boundary problemsstochastic flowsKalman-Bucy filterexecutive stock optionssmooth pasting

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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A fitted finite volume method for stochastic optimal control problems in finance ⋮ A Numerical Scheme for the Quantile Hedging Problem

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