A variational inequality arising from American installment call options pricing
type: Item
instance of: scholarly article
title: A variational inequality arising from American installment call options pricing
zbMATH Open document ID: 1163.49009
author: Zhou Yang
author: Fahuai Yi
published in: Journal of Mathematical Analysis and Applications
publication date: 2009-06-23T00:00:00Z
Mathematics Subject Classification ID: 49J40
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B74
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5568969
zbMATH Keywords: option pricing
zbMATH Keywords: American installment call options
zbMATH Keywords: free boundary
zbMATH Keywords: variational inequality
MaRDI profile type: Publication
full work available at URL: j.jmaa.2009.03.045
OpenAlex ID: W2037669449
cites work: The pricing of options and corporate liabilities
cites work: A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
cites work: Q3678248
cites work: Parabolic variational inequalities in one space dimension and smoothness of the free boundary
cites work: LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
cites work: Optimal exercise boundary for an American put option
cites work: Q4905685
cites work: Valuation of American continuous-installment options
cites work: On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
cites work: A parabolic variational inequality arising from the valuation of strike reset options
cites work: Q4354424
DOI: 10.1016/J.JMAA.2009.03.045
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description: scientific article; zbMATH DE number 5568969