An integro-differential parabolic variational inequality connected with the problem of the American option pricing
type: Item
instance of: scholarly article
title: An integro-differential parabolic variational inequality connected with the problem of the American option pricing
zbMATH Open document ID: 0878.45005
DOI: 10.4171/ZAA/654
author: M. Matzeu
author: Loretta Mastroeni
published in: Zeitschrift für Analysis und ihre Anwendungen
publication date: 1997-12-09T00:00:00Z
review text: Summary: An existence and regularity result for a linear integro-differential variational inequality of parabolic type, connected with the problem of the American option pricing, is stated. The proof is based on the use of some estimates of Lewy-Stampacchia type for parabolic variational inequalities and on a fixed point argument.
Mathematics Subject Classification ID: 45K05
Mathematics Subject Classification ID: 49J40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 49J22
zbMATH DE Number: 856797
zbMATH Keywords: american option pricing
zbMATH Keywords: integro-differential variational inequality
zbMATH Keywords: estimates of Lewy-Stampacchia type
zbMATH Keywords: parabolic variational inequalities
MaRDI profile type: Publication
cites work: Q4199298
cites work: The pricing of options and corporate liabilities
cites work: On strong solutions to parabolic unilateral problems with obstacle dependent on time
cites work: Q4171190
cites work: Q4272982
cites work: Q5286834
cites work: Quasilinear, parabolic, integro-differential problems with nonlinear oblique boundary conditions
cites work: Variational inequalities and the pricing of American options
cites work: Option pricing when underlying stock returns are discontinuous
cites work: Q4289128
full work available at URL: https://doi.org/10.4171/zaa/654
OpenAlex ID: W1977858546
description: scientific article; zbMATH DE number 856797