Free boundary problem of a new type of American option

zbMATH Open1389.35316MaRDI QIDQ3132095FDOQ3132095

Authors: Xiao Shan Chen, Limin Cao, Fahuai Yi 

Publication date: 29 January 2018

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zbMATH Keywords

option pricingfree boundaryvariational inequality

Mathematics Subject Classification ID

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

Cited In (7)

• American lookback option with fixed strike price-2-D parabolic variational inequality
• Boundary evolution equations for American options
• Title not available (Why is that?)
• A free boundary problem arising from the valuation of the Russian option
• A free boundary problem in variational inequality with gradient constraint
• The free boundary problem of American butterfly option
• Free boundary and American options in a jump-diffusion model

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