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zbMath1199.91231MaRDI QIDQ3641603

Tao Yu, Fa-huai Yi

Publication date: 11 November 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

variational inequality option pricing free boundary Russian option

Mathematics Subject Classification ID

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

Related Items (1)

A system of variational inequalities arising from finite expiry Russian option with two regimes

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