An obstacle problem arising from American options pricing: regularity of solutions

DOI10.1007/s00526-023-02639-8arXiv2107.03254OpenAlexW3183065991MaRDI QIDQ6143896

Henrique Borrin, Diego Marcon

Publication date: 24 January 2024

Published in: Calculus of Variations and Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.03254

zbMATH Keywords

almost optimal regularity in timeoptimal regularity in space

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40) Fractional partial differential equations (35R11)

Cites Work

• Optimal regularity of solutions to the obstacle problem for the fractional Laplacian with drift
• Multipliers of the Hölder classes
• Obstacle problem for nonlinear integro-differential equations arising in option pricing
• Regularity estimates for the solution and the free boundary of the obstacle problem for the fractional Laplacian
• Regularity of solutions to the parabolic fractional obstacle problem
• Regularity of the obstacle problem for a fractional power of the laplace operator
• Regularity theory for fully nonlinear integro-differential equations
• Regularity of the free boundary of an American option on several assets
• The local regularity of solutions of degenerate elliptic equations
• Elliptic Partial Differential Equations of Second Order
• Free Boundary Regularity in the Parabolic Fractional Obstacle Problem
• Financial Modelling with Jump Processes
• An Extension Problem Related to the Fractional Laplacian
• Option pricing when underlying stock returns are discontinuous

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