A variational inequality arising from European option pricing with transaction costs

DOI10.1007/S11425-007-0175-4zbMATH Open1158.35381OpenAlexW2191604262MaRDI QIDQ943445FDOQ943445

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Portfolio Selection with Transaction Costs
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• European Option Pricing with Transaction Costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Some solvable stochastic control problemst^†
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Title not available (Why is that?)
• A free boundary problem related to singular stochastic control: the parabolic case

Cited In (12)

• Parabolic variational inequality with parameter and gradient constraints
• Utility-indifference pricing of European options with proportional transaction costs
• A variational inequality arising from American installment call options pricing
• Indifference pricing and hedging in a multiple-priors model with trading constraints
• A parabolic variational inequality arising from the valuation of strike reset options
• Optimal exercise of American puts with transaction costs under utility maximization
• A Variational Inequality Arising from European Installment Call Options Pricing
• 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
• Title not available (Why is that?)
• A variational approach for pricing options and corporate bounds
• Real options and variational inequalities

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