An integro-differential parabolic variational inequality connected with the problem of the American option pricing (Q1909630)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An integro-differential parabolic variational inequality connected with the problem of the American option pricing |
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An integro-differential parabolic variational inequality connected with the problem of the American option pricing (English)
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9 December 1997
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Summary: An existence and regularity result for a linear integro-differential variational inequality of parabolic type, connected with the problem of the American option pricing, is stated. The proof is based on the use of some estimates of Lewy-Stampacchia type for parabolic variational inequalities and on a fixed point argument.
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american option pricing
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integro-differential variational inequality
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estimates of Lewy-Stampacchia type
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parabolic variational inequalities
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