A system of variational inequalities arising from finite expiry Russian option with two regimes
From MaRDI portal
Publication:5323020
DOI10.1002/mma.1106zbMath1167.35558OpenAlexW2082915690MaRDI QIDQ5323020
Publication date: 23 July 2009
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.1106
Related Items
Long-time dynamics for a nonlinear viscoelastic Kirchhoff plate equation, Optimal selling strategies under regime-switching market environment with finite expiry, Finite-dimensional attractors for the Kirchhoff models, Global attractors and their Hausdorff dimensions for a class of Kirchhoff models, Finite-dimensional attractors for the Kirchhoff models with critical exponents
Cites Work
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- The Russian option: Reduced regret
- Stochastic calculus for finance. II: Continuous-time models.
- The Russian option: finite horizon
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
- Unnamed Item
- Unnamed Item
- Unnamed Item