A variational inequality arising from American installment call options pricing
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Publication:1025812
DOI10.1016/J.JMAA.2009.03.045zbMATH Open1163.49009OpenAlexW2037669449MaRDI QIDQ1025812FDOQ1025812
Publication date: 23 June 2009
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2009.03.045
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Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
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- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
- On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Optimal exercise boundary for an American put option
- Valuation of American continuous-installment options
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- A parabolic variational inequality arising from the valuation of strike reset options
Cited In (20)
- The existence of a solution to a class of degenerate parabolic variational inequalities
- A variational inequality from pricing convertible bond
- An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
- American lookback option with fixed strike price-2-D parabolic variational inequality
- Analysis of an optimal stopping problem arising from hedge fund investing
- Analytic valuation of European continuous-installment barrier options
- Pricing American continuous-installment options under stochastic volatility model
- Dynkin game of convertible bonds and their optimal strategy
- Valuation of American strangle option: variational inequality approach
- A Variational Inequality Arising from European Installment Call Options Pricing
- A system of variational inequalities arising from finite expiry Russian option with two regimes
- A parabolic variational inequality arising from the valuation of American interest rate options
- Debt-equity swap with finite time horizon -- variational inequality approach
- American continuous-installment options of barrier type
- VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
- A variational inequality arising from European option pricing with transaction costs
- An integral representation approach for valuing American-style installment options with continuous payment plan
- Characterizations of weakly sharp solutions for a variational inequality with a pseudomonotone mapping
- Free boundary problem of a new type of American option
- Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions
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