Nonlinear variational inequalities for jump-diffusion processes and irregular obstacles with a financial application
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Publication:4264248
DOI10.1016/S0362-546X(97)00553-1zbMath1096.49506OpenAlexW1985504799MaRDI QIDQ4264248
Loretta Mastroeni, Michele Matzeu
Publication date: 7 June 2000
Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0362-546x(97)00553-1
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Related Items (3)
Lewy-Stampacchia type estimates for variational inequalities driven by (non)local operators ⋮ Obstacle problem for nonlinear integro-differential equations arising in option pricing ⋮ The obstacle problem at zero for the fractional \(p\)-Laplacian
Cites Work
- Variational inequalities and the pricing of American options
- An integro-differential parabolic variational inequality connected with the problem of the American option pricing
- Quasilinear, parabolic, integro-differential problems with nonlinear oblique boundary conditions
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