The regularity of the free boundary for strike reset option
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Publication:716513
DOI10.1016/S0252-9602(10)60165-8zbMath1240.35585OpenAlexW2018740494MaRDI QIDQ716513
Publication date: 29 September 2011
Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0252-9602(10)60165-8
Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35)