An integro-differential parabolic variational inequality connected with the problem of the American option pricing
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.
integro-differential variational inequality
scientific article; zbMATH DE number 856797