A variational inequality arising from European option pricing with transaction costs

DOI10.1007/s11425-007-0175-4zbMath1158.35381OpenAlexW2191604262MaRDI QIDQ943445

Fa-huai Yi, Zhou Yang

Publication date: 9 September 2008

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-007-0175-4

zbMATH Keywords

variational inequalityoption pricingtransaction costsfree boundarygradient constraintstwo obstacles problemtwo free boundaries

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) Portfolio theory (91G10)

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