The regularity of the free boundary for strike reset option

DOI10.1016/S0252-9602(10)60165-8MaRDI QIDQ716513zbMATH OpenOpenAlexFDO

Authors 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

free boundarystrike reset optionthe comparison principlevariational inequality

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Free boundary problems for PDEs (35R35) Financial applications of other theories (91G80)

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