A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options

DOI10.1007/s11741-007-0405-3zbMath1174.91434OpenAlexW2011375692WikidataQ115377829 ScholiaQ115377829MaRDI QIDQ5456303

Qingli Luo, Wan-cheng Sheng

Publication date: 4 April 2008

Published in: Journal of Shanghai University (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11741-007-0405-3

zbMATH Keywords

viscosity solutionoptimal stoppingAmerican optionssemilinear Black-Scholes partial differential equation

Mathematics Subject Classification ID

Related Items (2)

A study on the impact of nonlinear source term in Black-Scholes option pricing model ⋮ Existence and uniqueness results for a semilinear Black-Scholes type equation

Cites Work

• Optimal stopping and American options with discrete dividends and exogenous risk
• A semilinear Black and Scholes partial differential equation for valuing American options
• Properties of American option prices
• User’s guide to viscosity solutions of second order partial differential equations
• A nonlinear partial differential equation for american options in the entire domain of the state variable

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