Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
DOI10.1007/S00208-009-0456-ZzbMATH Open1200.35307OpenAlexW2149179694MaRDI QIDQ976775FDOQ976775
Authors: Marie Frentz, Kaj Nyström, Andrea Pascucci, Sergio Polidoro 
Publication date: 16 June 2010
Published in: Mathematische Annalen (Search for Journal in Brave)
Full work available at URL: http://amsacta.unibo.it/2518/1/FNPP.pdf
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Cites Work
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Cited In (17)
- Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
- 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
- Obstacle problem for arithmetic Asian options
- Approximation and interpolation in Kolmogorov-type groups
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
- 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
- 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
- Title not available (Why is that?)
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