An integro-differential parabolic variational inequality connected with the problem of the American option pricing

DOI10.4171/ZAA/654zbMath0878.45005OpenAlexW1977858546MaRDI QIDQ1909630

Michele Matzeu, Loretta Mastroeni

Publication date: 9 December 1997

Published in: Zeitschrift für Analysis und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4171/zaa/654

zbMATH Keywords

integro-differential variational inequalityparabolic variational inequalitiesamerican option pricingestimates of Lewy-Stampacchia type

Mathematics Subject Classification ID

Variational inequalities (49J40) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Nonlinear variational inequalities for jump-diffusion processes and irregular obstacles with a financial application ⋮ Lewy-Stampacchia type estimates for variational inequalities driven by (non)local operators ⋮ The obstacle problem at zero for the fractional \(p\)-Laplacian

Cites Work

• The Pricing of Options and Corporate Liabilities
• Variational inequalities and the pricing of American options
• On strong solutions to parabolic unilateral problems with obstacle dependent on time
• Quasilinear, parabolic, integro-differential problems with nonlinear oblique boundary conditions
• Option pricing when underlying stock returns are discontinuous
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