Numerical Analysis of a Free-Boundary Singular Control Problem in Financial Economics (Classic Reprint) - Tapa dura

Sinopsis

Excerpt from Numerical Analysis of a Free-Boundary Singular Control Problem in Financial Economics

We consider a frictionless securities market with two long lived and continuously traded securities: a stock and a bond. The stock is risky, pays no dividends, and sells for S (t) at time t. The bond is riskless, does not pay dividend, and sells for B(t) e at time t, where r is the constant riskless interest rate.

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