American option model and negative Fichera function on degenerate boundary

DOI10.1007/978-3-030-25498-8_5zbMath1427.91269OpenAlexW2957368557MaRDI QIDQ2337421

Zhuo Jin, Xiao Shan Chen, Qingshuo Song

Publication date: 20 November 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-25498-8_5

zbMATH Keywords

parabolic variational inequalityAmerican put option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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