American lookback option with fixed strike price-2-D parabolic variational inequality

DOI10.1016/j.jde.2011.07.027zbMath1230.91174OpenAlexW2083207970MaRDI QIDQ640996

Lihe Wang, Xiao Shan Chen, Fa-huai Yi

Publication date: 21 October 2011

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2011.07.027

zbMATH Keywords

Free boundary problemsAmerican lookback optionsParabolic variational inequalities

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

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Cites Work

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