Variational inequalities in stock loan models (Q400032)

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Variational inequalities in stock loan models
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    title
    Variational inequalities in stock loan models (English)
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    author
    Zongxia Liang
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    Weiming Wu
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    publication date
    20 August 2014
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    Mathematics Subject Classification ID
    91G80
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    49J40
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    60G40
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    91G20
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    zbMATH DE Number
    6332951
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    zbMATH Keywords
    variational inequality method
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    optimal stopping problems
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    stock loan model
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    perpetual American option
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    Itō's formula
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    Black-Scholes model
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