A variational inequality arising from European option pricing with transaction costs
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Publication:943445
DOI10.1007/s11425-007-0175-4zbMath1158.35381OpenAlexW2191604262MaRDI QIDQ943445
Publication date: 9 September 2008
Published in: Science in China. Series A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-007-0175-4
variational inequalityoption pricingtransaction costsfree boundarygradient constraintstwo obstacles problemtwo free boundaries
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) Portfolio theory (91G10)
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