American lookback option with fixed strike price-2-D parabolic variational inequality
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Publication:640996
DOI10.1016/j.jde.2011.07.027zbMath1230.91174MaRDI QIDQ640996
Lihe Wang, Xiao Shan Chen, Fa-huai 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
35K85: Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators
91G20: Derivative securities (option pricing, hedging, etc.)
35R35: Free boundary problems for PDEs
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