An integro-differential parabolic variational inequality arising from the valuation of double barrier American option

DOI10.1007/S11424-014-2218-6MaRDI QIDQ488919zbMATH OpenOpenAlexFDO

Authors Yudong Sun, Yimin Shi, Xin Gu

Publication date 27 January 2015

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-014-2218-6

zbMATH Keywords

existenceuniquenessAmerican style barrier optionintegro-differential variational inequalitynonlinear parabolic initial-boundary problem

Mathematics Subject Classification ID

Portfolio theory (91G10) Nonlinear parabolic equations (35K55) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86) Variational inequalities (49J40)

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Cites work

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• A General Fractional White Noise Theory And Applications To Finance
• American lookback option with fixed strike price-2-D parabolic variational inequality
• Binary option pricing using fuzzy numbers
• Elliptic and parabolic equations
• 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
• Option prices under stochastic volatility
• Penalty methods for the numerical solution of American multi-asset option problems
• 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
• 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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