Second-order integro-differential parabolic variational inequalities arising from the valuation of American option

DOI10.1186/1029-242X-2014-8OpenAlexW2105720668WikidataQ59324348 ScholiaQ59324348MaRDI QIDQ2258790

Yanyan Li

Publication date: 26 February 2015

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

Full work available at URL: https://doi.org/10.1186/1029-242x-2014-8

zbMATH Keywords

variational inequalitiesexistenceuniquenessAmerican optionintegro-differential

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Initial-boundary value problems for higher-order parabolic equations (35K35)

Related Items (3)

Multivalued weakly Picard operators via simulation functions with application to functional equations ⋮ Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions ⋮ The existence of a solution to a class of degenerate parabolic variational inequalities

Cites Work

• Pricing of American options in discrete time using least squares estimates with complexity penalties
• Regularity of the American put option in the Black-Scholes model with general discrete dividends
• Spectral analysis for a three-dimensional superradiance problem
• Differential operator related to the generalized superradiance integral equation
• A penalty method for American options with jump diffusion processes
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
• Quadratic Convergence for Valuing American Options Using a Penalty Method

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