Free boundary problem of a new type of American option

MaRDI QIDQ3132095zbMATH OpenFDO

Authors Xiao Shan Chen, Limin Cao, Fahuai Yi

Publication date 29 January 2018

zbMATH Keywords

option pricingfree boundaryvariational inequality

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

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• American lookback option with fixed strike price-2-D parabolic variational inequality
• A free boundary problem arising from the valuation of the Russian option
• The free boundary problem of American butterfly option
• Free boundary and American options in a jump-diffusion model

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