A nonlinear partial differential equation for american options in the entire domain of the state variable

DOI10.1016/S0362-546X(97)00207-1zbMath0911.90029WikidataQ115339164 ScholiaQ115339164MaRDI QIDQ4378758

Valery A. Kholodnyi

Publication date: 20 April 1999

Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)

zbMATH Keywords

parabolic equationboundary value problemAmerican optionprincing of American options

Mathematics Subject Classification ID

Related Items (12)

The inverse volatility problem for American options ⋮ Comparison of optimal portfolios with and without subsistence consumption constraints ⋮ Universal contingent claims and valuation multiplicative measures with examples and applications ⋮ The American straddle close to expiry ⋮ Parameter estimation approach to the free boundary for the pricing of an American call option ⋮ A semigroup approach to American options ⋮ Radial basis function partition of unity methods for pricing vanilla basket options ⋮ Controllability and hedgibility of Black-Scholes equations with \(N\) stocks ⋮ Existence and uniqueness results for a semilinear Black-Scholes type equation ⋮ A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options ⋮ Exact null controllability of a semilinear parabolic equation arising in finance ⋮ Universal contingent claims in a general market environment and multiplicative measures: examples and applications

Cites Work

• The Pricing of Options and Corporate Liabilities
• Singular perturbation and boundary layer for an abstract Cauchy problem
• Some mathematical results in the pricing of American options
• Option pricing: A simplified approach
• Note on Nonlinear Contraction Semigroups
• Nonlinear equations of evolution and nonlinear accretive operators in Banach spaces
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