On the size of the non-coincidence set of parabolic obstacle problems with applications to American option pricing
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Publication:3534702
DOI10.7146/math.scand.a-15036zbMath1152.35107OpenAlexW1577432596MaRDI QIDQ3534702
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
Variational inequalities (49J40) Partial differential inequalities and systems of partial differential inequalities (35R45) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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