On the size of the non-coincidence set of parabolic obstacle problems with applications to American option pricing (Q3534702)
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scientific article; zbMATH DE number 5361538
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| English | On the size of the non-coincidence set of parabolic obstacle problems with applications to American option pricing |
scientific article; zbMATH DE number 5361538 |
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On the size of the non-coincidence set of parabolic obstacle problems with applications to American option pricing (English)
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4 November 2008
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parabolic obstacle problem
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variational inequalities
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Hopf-type lemma
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American option
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0.8072910904884338
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0.7916552424430847
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0.769798755645752
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