A parabolic variational inequality arising from the valuation of strike reset options
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Publication:860744
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- American options on assets with dividends near expiry
- OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
- On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Shout options: A framework for pricing contracts which can be modified by the investor
- The Mathematics of Financial Derivatives
- Valuation of segregated funds: shout options with maturity extensions.
Cited in
(14)- A variational inequality arising from American installment call options pricing
- Horizon effect on optimal retirement decision
- A variational inequality arising from optimal exercise perpetual executive stock options
- VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
- Free boundary problem of a new type of American option
- Valuation on an outside-reset option with multiple resettable levels and dates
- Mathematical analysis of a variational inequality modelling perpetual executive stock options
- A Variational Inequality Arising from European Installment Call Options Pricing
- Free boundary problem concerning pricing convertible bond
- American lookback option with fixed strike price-2-D parabolic variational inequality
- The regularity of the free boundary for strike reset option
- Second-order integro-differential parabolic variational inequalities arising from the valuation of American option
- Free boundary problem for an optimal investment problem with a borrowing constraint
- Valuation of American strangle option: variational inequality approach
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