On the size of the non-coincidence set of parabolic obstacle problems with applications to American option pricing

DOI10.7146/MATH.SCAND.A-15036MaRDI QIDQ3534702zbMATH OpenOpenAlexFDO

Authors Teitur Arnarson, Jonatan Eriksson

Publication date 4 November 2008

Published in MATHEMATICA SCANDINAVICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7146/math.scand.a-15036

zbMATH Keywords

American optionvariational inequalitiesparabolic obstacle problemHopf-type lemma

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Free boundary problems for PDEs (35R35) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Partial differential inequalities and systems of partial differential inequalities (35R45)

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(2)

• Symmetry in a parabolic multi-phase overdetermined problem
• Stefan problems for reflected SPDEs driven by space-time white noise

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