Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options (Q976775)
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| English | Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options |
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Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options (English)
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16 June 2010
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The author prove optimal interior regularity for solutions to the obstacle problem for a class of second order differential operators of Kolmogorov type. Smooth obstacles as well as non-smooth obstacles are considered. The proofs are based on blow-ups, compactness, barriers and arguments by contradiction. The problem considered arises in financial mathematics, when considering path-dependent derivative contracts with early exercise feature.
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Kolmogorov operators
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interior regularity
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obstacle problems
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