Regularity of free boundary arising from optimal exercise of perpetual executive stock options

DOI10.4171/IFB/334zbMath1346.35197MaRDI QIDQ2515793

Wanghui Yu, Xin Lai, Xinfu Chen, Cong Qin

Publication date: 6 August 2015

Published in: Interfaces and Free Boundaries (Search for Journal in Brave)

zbMATH Keywords

variational inequalityfree boundary problemoptimal exerciseAmerican perpetual optionexecutive stock option

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)

Related Items (5)

A free boundary problem for a class of nonlinear nonautonomous size-structured population model ⋮ A variational inequality arising from optimal exercise perpetual executive stock options ⋮ Asymptotic behavior of optimal exercise strategy for a small number of executive stock options ⋮ Free Boundaries Problem for a Class of Parabolic Type Chemotaxis Model ⋮ On Balanced Growth Path Solutions of a Knowledge Diffusion and Growth Model

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