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The regularity of the free boundary for strike reset option - MaRDI portal

The regularity of the free boundary for strike reset option

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Publication:716513

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DOI10.1016/S0252-9602(10)60165-8zbMath1240.35585OpenAlexW2018740494MaRDI QIDQ716513

Publication date: 29 September 2011

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(10)60165-8

zbMATH Keywords

variational inequality free boundary strike reset option the comparison principle

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35)

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