We consider the stochastic solution to a Cauchy problem corresponding to a nonnegative diffusion with zero drift, which represents a price process under some risk-neutral measure. When the diffusion coefficient is locally Holder continuous with some exponent in (0,1], the stochastic solution is...

This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, the indifference price is formulated as a stochastic singular control problem. The value function...