On the regularity of the free boundary in the parabolic obstacle problem. Application to American options

Nonlinear Analysis, Theory, Methods and Applications

Volumn 65, Issue 7, 2006, Pages 1362-1378

  Blanchet, Adrien ^a  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

American option; Exercise boundary; Exercise region; Free boundary; Parabolic obstacle problem

Indexed keywords

BOUNDARY CONDITIONS; MATHEMATICAL MODELS; ONE DIMENSIONAL; PROBLEM SOLVING; SET THEORY; TAXATION; TIME DOMAIN ANALYSIS;

AMERICAN OPTION; EXERCISE BOUNDARY; EXERCISE REGION; FREE BOUNDARY; PARABOLIC OBSTACLE PROBLEM;

NONLINEAR EQUATIONS;

EID: 33745183343     PISSN: 0362546X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.na.2005.10.009     Document Type: Article

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