A variational inequality arising from American installment call options pricing

DOI10.1016/J.JMAA.2009.03.045zbMath1163.49009OpenAlexW2037669449MaRDI QIDQ1025812

Zhou Yang, Fa-huai Yi

Publication date: 23 June 2009

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2009.03.045

zbMATH Keywords

variational inequalityoption pricingfree boundaryAmerican installment call options

Mathematics Subject Classification ID

Variational inequalities (49J40) Microeconomic theory (price theory and economic markets) (91B24) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (11)

Characterizations of weakly sharp solutions for a variational inequality with a pseudomonotone mapping ⋮ American continuous-installment options of barrier type ⋮ Pricing American continuous-installment options under stochastic volatility model ⋮ Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions ⋮ Valuation of American strangle option: variational inequality approach ⋮ Analysis of an optimal stopping problem arising from hedge fund investing ⋮ An integral representation approach for valuing American-style installment options with continuous payment plan ⋮ Dynkin game of convertible bonds and their optimal strategy ⋮ Analytic valuation of European continuous-installment barrier options ⋮ Debt-equity swap with finite time horizon -- variational inequality approach ⋮ The existence of a solution to a class of degenerate parabolic variational inequalities

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A parabolic variational inequality arising from the valuation of strike reset options
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Valuation of American continuous-installment options
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
• Optimal exercise boundary for an American put option
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS

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