An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
DOI10.1007/S11424-014-2218-6zbMATH Open1306.49016OpenAlexW2043321280MaRDI QIDQ488919FDOQ488919
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
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existenceuniquenessAmerican style barrier optionintegro-differential variational inequalitynonlinear parabolic initial-boundary problem
Portfolio theory (91G10) Nonlinear parabolic equations (35K55) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86) Variational inequalities (49J40)
Cites Work
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- Pricing American bond options using a penalty method
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- A General Fractional White Noise Theory And Applications To Finance
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
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Cited In (9)
- The existence of a solution to a class of degenerate parabolic variational inequalities
- Valuation of American strangle option: variational inequality approach
- A parabolic variational inequality arising from the valuation of strike reset options
- A parabolic variational inequality arising from the valuation of American interest rate options
- Second-order integro-differential parabolic variational inequalities arising from the valuation of American option
- Parabolic variational inequalities: the Lagrange multiplier approach
- Study of weak solutions for degenerate parabolic inequalities with nonstandard conditions
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions
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