Free boundary regularity close to initial state for parabolic obstacle problem

DOI10.1090/S0002-9947-07-04292-4MaRDI QIDQ5437627zbMATH OpenOpenAlexFDO

Authors Henrik Shahgholian

Publication date 21 January 2008

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0002-9947-07-04292-4

zbMATH Keywords

American optionblow-upfree boundaryglobal solutioninitial stateobstacle problemregularitysingular point

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 818071 (Why is no real title available?)
• On the regularity theory of fully nonlinear parabolic equations: I
• On the regularity theory of fully nonlinear parabolic equations: II
• On the regularity theory of fully nonlinear parabolic equations: III
• The Valuation of American Options on Multiple Assets

Cited in

(17)

• A PDE approach to regularity of solutions to finite horizon optimal switching problems
• Regularity for degenerate evolution equations with strong absorption
• Analysis of the free boundary for the \(p\)-parabolic variational problem \((p\geq 2)\)
• On \(L^p\)-viscosity solutions of parabolic bilateral obstacle problems with unbounded ingredients
• Fully nonlinear parabolic dead core problems
• On the behaviour near expiry for multi-dimensional American options
• Uniform estimates near the initial state for solutions of the two-phase parabolic problem
• On the size of the non-coincidence set of parabolic obstacle problems with applications to American option pricing
• The behavior of the free boundary close to a fixed boundary in a parabolic problem
• scientific article; zbMATH DE number 2123435 (Why is no real title available?)
• Regularity for the fully nonlinear parabolic thin obstacle problem
• Numerical solution for a parabolic obstacle problem with nonsmooth initial data
• The obstacle problem for a class of hypoelliptic ultraparabolic equations
• Qualitative properties of solutions to a mass-conserving free boundary problem modeling cell polarization
• Regularity theory for fully nonlinear parabolic obstacle problems
• Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators
• Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options

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