A variational inequality arising from European option pricing with transaction costs

DOI10.1007/S11425-007-0175-4MaRDI QIDQ943445zbMATH OpenOpenAlexFDO

Authors Fahuai Yi, Zhou Yang

Publication date 9 September 2008

Published in Science in China. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-007-0175-4

zbMATH Keywords

option pricingfree boundarytransaction costsvariational inequalitygradient constraintstwo obstacles problemtwo free boundaries

Mathematics Subject Classification ID

Portfolio theory (91G10) Free boundary problems for PDEs (35R35) Financial applications of other theories (91G80) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)

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Cites work

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• A free boundary problem related to singular stochastic control: the parabolic case
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• European Option Pricing with Transaction Costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Portfolio Selection with Transaction Costs
• Some solvable stochastic control problemst^†
• The pricing of options and corporate liabilities

Cited in

(12)

• A variational inequality arising from American installment call options pricing
• Real options and variational inequalities
• A variational approach for pricing options and corporate bounds
• Optimal exercise of American puts with transaction costs under utility maximization
• A Variational Inequality Arising from European Installment Call Options Pricing
• scientific article; zbMATH DE number 7706661 (Why is no real title available?)
• Indifference pricing and hedging in a multiple-priors model with trading constraints
• Utility-indifference pricing of European options with proportional transaction costs
• A parabolic variational inequality arising from the valuation of strike reset options
• Parabolic variational inequality with parameter and gradient constraints
• Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
• Global existence and blowup of solutions to a free boundary problem for mutualistic model

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