American lookback option with fixed strike price-2-D parabolic variational inequality

DOI10.1016/J.JDE.2011.07.027MaRDI QIDQ640996zbMATH OpenOpenAlexFDO

Authors Lihe Wang, Xiao Shan Chen, Fahuai Yi

Publication date 21 October 2011

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jde.2011.07.027

zbMATH Keywords

Free boundary problemsAmerican lookback optionsParabolic variational inequalities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)

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Cites work

• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• A modified binomial tree method for currency lookback options
• American Options with Lookback Payoff
• Binomial valuation of lookback options
• Early exercise policies of American floating strike and fixed strike lookback options.
• Exercise Regions And Efficient Valuation Of American Lookback Options
• On a two-phase continuous casting Stefan problem with nonlinear flux
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
• On the theory of option pricing
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• The Stefan Problem in Several Space Variables
• The \(C^{\alpha}\) regularity of a class of non-homogeneous ultraparabolic equations

Cited in

(9)

• Optimal redeeming strategy of stock loans under drift uncertainty
• The price of a lookback option as the solution of a boundary-value problem for the heat equation
• Weak solution of non-Newtonian polytropic variational inequality in fresh agricultural product supply chain problem
• Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions
• An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
• 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
• Some results for a \(p(x)\)-Kirchhoff type variation-inequality problems in non-divergence form

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