A variational inequality arising from European option pricing with transaction costs (Q943445)
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scientific article; zbMATH DE number 5323369
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| English | A variational inequality arising from European option pricing with transaction costs |
scientific article; zbMATH DE number 5323369 |
Statements
A variational inequality arising from European option pricing with transaction costs (English)
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9 September 2008
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option pricing
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transaction costs
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free boundary
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variational inequality
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gradient constraints
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two obstacles problem
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two free boundaries
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0.9290261
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0.91486514
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0.89749736
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0.8974071
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0.8968218
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0.89559066
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0.89546555
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0.8937224
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0.8892946
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