A parabolic variational inequality arising from the valuation of strike reset options

10.1016/j.jde.2006.07.026

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Bibliographic Details
Main Authors:	Yang, Z., Yi, F., Dai, M.
Other Authors:	MATHEMATICS
Format:	Article
Published:	2014
Subjects:	American option Free boundary Option pricing Strike reset option Variational inequality
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/102727
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-102727
record_format	dspace
spelling	sg-nus-scholar.10635-1027272024-11-14T16:47:54Z A parabolic variational inequality arising from the valuation of strike reset options Yang, Z. Yi, F. Dai, M. MATHEMATICS American option Free boundary Option pricing Strike reset option Variational inequality 10.1016/j.jde.2006.07.026 Journal of Differential Equations 230 2 481-501 JDEQA 2014-10-28T02:29:01Z 2014-10-28T02:29:01Z 2006-11-15 Article Yang, Z., Yi, F., Dai, M. (2006-11-15). A parabolic variational inequality arising from the valuation of strike reset options. Journal of Differential Equations 230 (2) : 481-501. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jde.2006.07.026 00220396 http://scholarbank.nus.edu.sg/handle/10635/102727 000242323900005 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	American option Free boundary Option pricing Strike reset option Variational inequality
spellingShingle	American option Free boundary Option pricing Strike reset option Variational inequality Yang, Z. Yi, F. Dai, M. A parabolic variational inequality arising from the valuation of strike reset options
description	10.1016/j.jde.2006.07.026
author2	MATHEMATICS
author_facet	MATHEMATICS Yang, Z. Yi, F. Dai, M.
format	Article
author	Yang, Z. Yi, F. Dai, M.
author_sort	Yang, Z.
title	A parabolic variational inequality arising from the valuation of strike reset options
title_short	A parabolic variational inequality arising from the valuation of strike reset options
title_full	A parabolic variational inequality arising from the valuation of strike reset options
title_fullStr	A parabolic variational inequality arising from the valuation of strike reset options
title_full_unstemmed	A parabolic variational inequality arising from the valuation of strike reset options
title_sort	parabolic variational inequality arising from the valuation of strike reset options
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/102727
_version_	1821204996388028416

A parabolic variational inequality arising from the valuation of strike reset options

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