A semigroup approach to American options

DOI10.1016/j.jmaa.2004.07.047zbMath1120.91012OpenAlexW2074627596MaRDI QIDQ1763408

J. M. González-Rodríguez, Domingo Israel Cruz-Báez

Publication date: 22 February 2005

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.2004.07.047

zbMATH Keywords

semilinear parabolic problems

Mathematics Subject Classification ID

Related Items

Chaotic solution for the Black-Scholes equation ⋮ Exercisability Randomization of the American Option ⋮ Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrödinger PDE

Cites Work

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• Geometric theory of semilinear parabolic equations
• Semigroup theory applied to options
• Generation of analytic semigroups and domain characterization for degenerate elliptic operators with unbounded coefficients arising in financial mathematics. I.
• A nonlinear partial differential equation for american options in the entire domain of the state variable
• Analytic semigroups and optimal regularity in parabolic problems