The regularity of the free boundary for strike reset option

DOI10.1016/S0252-9602(10)60165-8zbMath1240.35585MaRDI QIDQ716513

Zhou Yang

Publication date: 29 September 2011

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(10)60165-8

zbMATH Keywords

variational inequality; free boundary; strike reset option; the comparison principle

Mathematics Subject Classification ID

35K85: Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators

91G80: Financial applications of other theories

35R35: Free boundary problems for PDEs