VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH

DOI10.1142/S0219199709003363zbMath1180.35586MaRDI QIDQ3636107

Zhou Yang, Fa-huai Yi

Publication date: 30 June 2009

Published in: Communications in Contemporary Mathematics (Search for Journal in Brave)

zbMATH Keywords

variational inequalityoption pricingfree boundaryEuropean installment put option

Mathematics Subject Classification ID

Variational inequalities (49J40) Smoothness and regularity of solutions to PDEs (35B65) Financial applications of other theories (91G80) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35) Portfolio theory (91G10)

Related Items (6)

Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options ⋮ Pricing and applications of digital installment options ⋮ Unnamed Item ⋮ A free boundary problem arising from pricing convertible bond ⋮ Valuation of American strangle option: variational inequality approach ⋮ Analytic valuation of European continuous-installment barrier options

Cites Work

• The Pricing of Options and Corporate Liabilities
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
• Valuation of American continuous-installment options
• A Variational Inequality Arising from European Installment Call Options Pricing
• Regularity of a free boundary in parabolic potential theory

This page was built for publication: VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH