An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
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Cites work
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- A General Fractional White Noise Theory And Applications To Finance A General Fractional White Noise Theory And Applications To Finance
- American lookback option with fixed strike price-2-D parabolic variational inequality American lookback option with fixed strike price-2-D parabolic variational inequality
- Binary option pricing using fuzzy numbers Binary option pricing using fuzzy numbers
- Elliptic and parabolic equations Elliptic and parabolic equations
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- Option prices under stochastic volatility Option prices under stochastic volatility
- Penalty methods for the numerical solution of American multi-asset option problems Penalty methods for the numerical solution of American multi-asset option problems
- Pricing American bond options using a penalty method Pricing American bond options using a penalty method
- Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
- Stochastic Calculus for Fractional Brownian Motion and Applications Stochastic Calculus for Fractional Brownian Motion and Applications
Cited in
(9)- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions
- A parabolic variational inequality arising from the valuation of strike reset options
- Second-order integro-differential parabolic variational inequalities arising from the valuation of American option
- Parabolic variational inequalities: the Lagrange multiplier approach
- A parabolic variational inequality arising from the valuation of American interest rate options
- The existence of a solution to a class of degenerate parabolic variational inequalities
- Study of weak solutions for degenerate parabolic inequalities with nonstandard conditions
- Valuation of American strangle option: variational inequality approach
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