Nonlinear variational inequalities for jump-diffusion processes and irregular obstacles with a financial application
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Publication:4264248
DOI10.1016/S0362-546X(97)00553-1zbMATH Open1096.49506OpenAlexW1985504799MaRDI QIDQ4264248FDOQ4264248
Authors: Loretta Mastroeni, M. Matzeu 
Publication date: 7 June 2000
Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0362-546x(97)00553-1
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Cites Work
- Variational inequalities and the pricing of American options
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- An integro-differential parabolic variational inequality connected with the problem of the American option pricing
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- Quasilinear, parabolic, integro-differential problems with nonlinear oblique boundary conditions
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Cited In (7)
- Real options problem with nonsmooth obstacle
- Lewy-Stampacchia type estimates for variational inequalities driven by (non)local operators
- The obstacle problem at zero for the fractional \(p\)-Laplacian
- Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance
- New existence theorems for quasi-variational inequalities and applications to financial models
- Title not available (Why is that?)
- Obstacle problem for nonlinear integro-differential equations arising in option pricing
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