A parabolic variational inequality related to the perpetual American executive stock options
type: Item
instance of: scholarly article
title: A parabolic variational inequality related to the perpetual American executive stock options
zbMATH Open document ID: 1254.35222
author: Liping Song
author: Wanghui Yu
published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods
publication date: 2011-10-17T00:00:00Z
review text: A certain parabolic variational inequality originating from the study of the optimal strategy related to the American executive stock exchange options in financial markets is studied. The authors introduce the problem which is quite involved and provide a result concerning the existence, the uniqueness and regularity of solutions. The problem is solved via appropriate time discretization methods along with convergence approach that is possible in view given estimates.
reviewed by: Wojciech Kryszewski
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 35K86
Mathematics Subject Classification ID: 35A25
Mathematics Subject Classification ID: 35R35
zbMATH DE Number: 5959713
zbMATH Keywords: existence
zbMATH Keywords: uniqueness
zbMATH Keywords: regularity
zbMATH Keywords: time discretization
MaRDI profile type: Publication
full work available at URL: j.na.2011.06.042
OpenAlex ID: W1996683823
cites work: Optimal exercise of executive stock options
cites work: Horizon-unbiased utility functions
cites work: Risk aversion and block exercise of executive stock options
cites work: ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
cites work: Q3994515
DOI: 10.1016/J.NA.2011.06.042
description: scientific article; zbMATH DE number 5959713