A variational inequality arising from American installment call options pricing
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- scientific article; zbMATH DE number 1088676
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Cites work
- scientific article; zbMATH DE number 3899626 (Why is no real title available?)
- scientific article; zbMATH DE number 1061253 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
- A parabolic variational inequality arising from the valuation of strike reset options
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
- Optimal exercise boundary for an American put option
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- The pricing of options and corporate liabilities
- Valuation of American continuous-installment options
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- 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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