A Variational Inequality Arising from European Installment Call Options Pricing

DOI10.1137/060670353zbMath1168.35453OpenAlexW2044827505MaRDI QIDQ3609048

Xiao-Hua Wang, Zhou Yang, Fa-huai Yi

Publication date: 6 March 2009

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/060670353

zbMATH Keywords

variational inequalityoption pricingfree boundaryEuropean installment call options

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Free boundary problems for PDEs (35R35)

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