Pricing early exercise contracts in incomplete markets
Year of publication: |
2003
|
---|---|
Authors: | Oberman, A. ; Zariphopoulou, T. |
Published in: |
Computational Management Science. - Springer. - Vol. 1.2003, 1, p. 75-107
|
Publisher: |
Springer |
Subject: | Nontraded assets | early exercise contracts | utility maximization with discretionary stopping | Hamilton-Jacobi-Bellman equations | quasilinear variational inequalities | nonlinear asset pricing |
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