A parabolic variational inequality related to the perpetual American executive stock options
A certain parabolic variational inequality originating from the study of the optimal strategy related to the American executive stock exchange options in financial markets is studied. The authors introduce the problem which is quite involved and provide a result concerning the existence, the uniqueness and regularity of solutions. The problem is solved via appropriate time discretization methods along with convergence approach that is possible in view given estimates.
scientific article; zbMATH DE number 5959713