Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
From MaRDI portal
(Redirected from Publication:976775)
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Smoothness and regularity of solutions to PDEs (35B65) Hypoelliptic equations (35H10) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) Free boundary problems for PDEs (35R35) PDEs on Heisenberg groups, Lie groups, Carnot groups, etc. (35R03)
Recommendations
- scientific article; zbMATH DE number 6317310
- Optimal regularity in lower dimensional obstacle problems
- Obstacle problem for arithmetic Asian options
- \(C^{1,1}\) regularity for degenerate elliptic obstacle problems
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
Cites work
- scientific article; zbMATH DE number 721958 (Why is no real title available?)
- scientific article; zbMATH DE number 5233919 (Why is no real title available?)
- scientific article; zbMATH DE number 2238099 (Why is no real title available?)
- An optimal stopping problem with linear reward
- Balls and metrics defined by vector fields. I: Basic properties
- Bounds on short cylinders and uniqueness in Cauchy problem for degenerate Kolmogorov equations
- Complete Models with Stochastic Volatility
- Error estimates for the binomial approximation of American put options
- Free boundary and optimal stopping problems for American Asian options
- Free boundary regularity close to initial state for parabolic obstacle problem
- Hypoelliptic second order differential equations
- On the complete model with stochastic volatility by Hobson and Rogers
- On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
- On the pricing of American options
- On the regularity of solutions to a nonlinear ultraparabolic equation arising in mathematical finance
- On the theory of option pricing
- Optimal stopping and free boundary problems
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Path dependent volatility
- Potential methods in variational inequalities
- Regularity of a free boundary in parabolic potential theory
- Regularity of a free boundary with application to the Pompeiu problem
- SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
- Schauder estimates, Harnack inequality and Gaussian lower bound for Kolmogorov-type operators in non-divergence form
- Taylor formula for homogeneous groups and applications
- The obstacle problem for a class of hypoelliptic ultraparabolic equations
- The sub-elliptic obstacle problem: \(C^{1,\alpha }\) regularity of the free boundary in Carnot groups of step two
- Variational inequalities and the pricing of American options
- Variational inequalities with lack of ellipticity. Part I: Optimal interior regularity and non-degeneracy of the free boundary
Cited in
(21)- Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
- Obstacle problems for nonlocal operators
- Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators
- Penalty approximation method for a double obstacle quasilinear parabolic variational inequality problem
- An obstacle problem arising from American options pricing: regularity of solutions
- Obstacle problem for arithmetic Asian options
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
- Approximation and interpolation in Kolmogorov-type groups
- \(C^{1,1}\) regularity for degenerate elliptic obstacle problems
- Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
- A boundary estimate for non-negative solutions to Kolmogorov operators in non-divergence form
- The obstacle problem for parabolic non-divergence form operators of Hörmander type
- Regularity results for Kolmogorov equations based on a blow-up argument
- New perspectives on recent trends for Kolmogorov operators
- On the obstacle problem associated to the Kolmogorov-Fokker-Planck operator with rough coefficients
- Hardy-Littlewood-Sobolev inequalities for a class of non-symmetric and non-doubling hypoelliptic semigroups
- Sharp regularity for evolutionary obstacle problems, interpolative geometries and removable sets
- Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
- Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
- Free boundary regularity for multi-dimensional American options through blow-ups and global solutions
- Optimal regularity of solutions to no-sign obstacle-type problems for the sub-Laplacian
This page was built for publication: Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q976775)
