American options and the free boundary exercise region: a PDE approach
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Publication:1772495
DOI10.4171/IFB/114zbMath1178.91179MaRDI QIDQ1772495
Publication date: 18 April 2005
Published in: Interfaces and Free Boundaries (Search for Journal in Brave)
Full work available at URL: http://www.ems-ph.org/journals/show_abstract.php?issn=1463-9963&vol=7&iss=1&rank=4
Related Items (4)
On the singular set of the parabolic obstacle problem ⋮ On the behaviour near expiry for multi-dimensional American options ⋮ On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients ⋮ On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
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