The obstacle problem for a class of hypoelliptic ultraparabolic equations

DOI10.1098/rspa.2007.0090zbMath1137.35017OpenAlexW2009825980MaRDI QIDQ5438180

Marco Di Francesco, Sergio Polidoro, Andrea Pascucci

Publication date: 23 January 2008

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: http://amsacta.unibo.it/2319/1/27Obstacle.pdf

zbMATH Keywords

obstacle problemsDirichlet boundary conditionsKolmogorov equationnondivergence formBlack-Scholesunique strong solution

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Degenerate parabolic equations (35K65) Mathematical economics (91B99) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) Subelliptic equations (35H20)

Related Items

Efficient willow tree method for European-style and American-style moving average barrier options pricing ⋮ Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options ⋮ Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem ⋮ Dynamic credit investment in partially observed markets ⋮ Sobolev embeddings for kinetic Fokker-Planck equations ⋮ The obstacle problem for parabolic non-divergence form operators of Hörmander type ⋮ Unnamed Item ⋮ Free boundary and optimal stopping problems for American Asian options ⋮ A boundary estimate for non-negative solutions to Kolmogorov operators in non-divergence form ⋮ Path dependent volatility ⋮ On the behaviour near expiry for multi-dimensional American options ⋮ Calibration of a path-dependent volatility model: empirical tests ⋮ A lattice algorithm for pricing moving average barrier options ⋮ Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options ⋮ Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations ⋮ Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators ⋮ Bounds on short cylinders and uniqueness in Cauchy problem for degenerate Kolmogorov equations ⋮ Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients ⋮ Large-time behavior for obstacle problems for degenerate viscous Hamilton-Jacobi equations ⋮ Obstacle problem for arithmetic Asian options ⋮ G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty ⋮ Optimal regularity of solutions to no-sign obstacle-type problems for the sub-Laplacian ⋮ An analysis of path-dependent options

Cites Work

• On the pricing of American options
• Balls and metrics defined by vector fields. I: Basic properties
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Subelliptic estimates and function spaces on nilpotent Lie groups
• Hypoelliptic differential operators and nilpotent groups
• Sobolev-Morrey spaces related to an ultraparabolic equation
• \(\mathcal{L}^p\) estimates for some ultraparabolic operators with discontinuous coefficients
• Hypoelliptic second order differential equations
• On the complete model with stochastic volatility by Hobson and Rogers
• Analytical Valuation of American-Style Asian Options
• User’s guide to viscosity solutions of second order partial differential equations
• Complete Models with Stochastic Volatility
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• On the Valuation of Asian Options by Variational Methods
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• The value of an Asian option
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS