A parabolic variational inequality arising from the valuation of strike reset options
DOI10.1016/J.JDE.2006.07.026zbMATH Open1110.35040OpenAlexW2073467017MaRDI QIDQ860744FDOQ860744
Authors: Zhou Yang, Min Dai, Fahuai Yi 
Publication date: 9 January 2007
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jde.2006.07.026
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Cited In (12)
- Valuation on an outside-reset option with multiple resettable levels and dates
- American lookback option with fixed strike price-2-D parabolic variational inequality
- A variational inequality arising from American installment call options pricing
- Mathematical analysis of a variational inequality modelling perpetual executive stock options
- The regularity of the free boundary for strike reset option
- Valuation of American strangle option: variational inequality approach
- A Variational Inequality Arising from European Installment Call Options Pricing
- VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
- Second-order integro-differential parabolic variational inequalities arising from the valuation of American option
- Horizon effect on optimal retirement decision
- Free boundary problem for an optimal investment problem with a borrowing constraint
- Free boundary problem concerning pricing convertible bond
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