Valuation of American strangle option: variational inequality approach

DOI10.3934/dcdsb.2018206zbMath1404.35490OpenAlexW2809054669MaRDI QIDQ1755938

Jehan Oh, Junkee Jeon

Publication date: 11 January 2019

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2018206

zbMATH Keywords

variational inequalityfree boundary problemoption pricingAmerican strangle options

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Perpetual cancellable American options with convertible features

Cites Work

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• American lookback option with fixed strike price-2-D parabolic variational inequality
• A parabolic variational inequality arising from the valuation of strike reset options
• Evaluation of American strangles
• A variational inequality arising from American installment call options pricing
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Valuation of American strangles through an optimized lower-upper bound approach
• A Variational Inequality Arising from European Installment Call Options Pricing
• VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
• On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
• American Strangle Options

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