A Variational Inequality Arising from European Installment Call Options Pricing

DOI10.1137/060670353MaRDI QIDQ3609048zbMATH OpenOpenAlexFDO

Authors Zhou Yang, Xiaohua Wang, Fahuai Yi

Publication date 6 March 2009

Published in SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/060670353

zbMATH Keywords

option pricingfree boundaryvariational inequalityEuropean installment call options

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Free boundary problems for PDEs (35R35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)

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