A parabolic variational inequality arising from the valuation of strike reset options

DOI10.1016/j.jde.2006.07.026zbMath1110.35040OpenAlexW2073467017MaRDI QIDQ860744

Zhou Yang, Min Dai, Fa-huai Yi

Publication date: 9 January 2007

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

Full work available at URL: https://doi.org/10.1016/j.jde.2006.07.026

zbMATH Keywords

existenceuniquenessAmerican optionmonotonicity of the free boundaryoption prising

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Free boundary problems for PDEs (35R35)

Related Items (6)

Free boundary problem for an optimal investment problem with a borrowing constraint ⋮ Horizon effect on optimal retirement decision ⋮ Valuation on an outside-reset option with multiple resettable levels and dates ⋮ Free boundary problem concerning pricing convertible bond ⋮ Valuation of American strangle option: variational inequality approach ⋮ A variational inequality arising from American installment call options pricing

Cites Work

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• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• American options on assets with dividends near expiry
• The Mathematics of Financial Derivatives
• Shout options: A framework for pricing contracts which can be modified by the investor

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