An integro-differential parabolic variational inequality arising from the valuation of double barrier American option (Q488919)
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scientific article; zbMATH DE number 6391209
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| English | An integro-differential parabolic variational inequality arising from the valuation of double barrier American option |
scientific article; zbMATH DE number 6391209 |
Statements
An integro-differential parabolic variational inequality arising from the valuation of double barrier American option (English)
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27 January 2015
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integro-differential variational inequality
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American style barrier option
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nonlinear parabolic initial-boundary problem
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existence
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uniqueness
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0.9007710814476012
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0.8705231547355652
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0.856031060218811
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0.8430578708648682
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0.8420755863189697
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