A DEGENERATE PARABOLIC VARIATIONAL INEQUALITY FOR THE AMERICAN OPTION PRICING PROBLEM

DOI10.1142/S0218202598000214zbMath0914.49007OpenAlexW1996897289MaRDI QIDQ4214167

Michele Matzeu, Loretta Mastroeni

Publication date: 2 June 1999

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218202598000214

zbMATH Keywords

American option pricingparabolic variational inequalities

Mathematics Subject Classification ID

Variational inequalities (49J40) Microeconomic theory (price theory and economic markets) (91B24)

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