Solving a two variables free boundary problem arising in a perpetual American exchange option pricing model

DOI10.11650/twjm/1500405554zbMath1181.35346OpenAlexW4241130745MaRDI QIDQ1039529

Hsuan-Ku Liu, Ming Long Liu

Publication date: 30 November 2009

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/twjm/1500405554

zbMATH Keywords

PDEfree boundary problemexchange option

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35)

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