An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
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Publication:488919
DOI10.1007/s11424-014-2218-6zbMath1306.49016OpenAlexW2043321280MaRDI QIDQ488919
Publication date: 27 January 2015
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-014-2218-6
existenceuniquenessintegro-differential variational inequalityAmerican style barrier optionnonlinear parabolic initial-boundary problem
Variational inequalities (49J40) Nonlinear parabolic equations (35K55) Portfolio theory (91G10) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)
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