VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH

DOI10.1142/S0219199709003363zbMath1180.35586MaRDI QIDQ3636107

Zhou Yang, Fa-huai Yi

Publication date: 30 June 2009

Published in: Communications in Contemporary Mathematics (Search for Journal in Brave)

zbMATH Keywords

variational inequality; option pricing; free boundary; European installment put option

Mathematics Subject Classification ID

49J40: Variational inequalities

35B65: Smoothness and regularity of solutions to PDEs

91G80: Financial applications of other theories

35R60: PDEs with randomness, stochastic partial differential equations

35R35: Free boundary problems for PDEs

91G10: Portfolio theory

Related Items

Unnamed Item, Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options, Valuation of American strangle option: variational inequality approach, Pricing and applications of digital installment options, Analytic valuation of European continuous-installment barrier options, A free boundary problem arising from pricing convertible bond

Cites Work

• The Pricing of Options and Corporate Liabilities
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
• Valuation of American continuous-installment options
• A Variational Inequality Arising from European Installment Call Options Pricing
• Regularity of a free boundary in parabolic potential theory