A variational inequality arising from European option pricing with transaction costs

Author:

Yi FaHuai,Yang Zhou

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics

Reference15 articles.

1. Davis M H A, Panas V G, Zariphopoulou T. European option pricing with transaction costs. SIAM J Control Optim, 3(2): 470–493 (1993)

2. Rodrigues J F, Santos L. A parabolic quasi-variational inequality arising in a superconductivity model. Ann Sc Norm Super Pisa Cl Sci, 29(4): 153–169 (2000)

3. Santos L. A parabolic variational inequality with non-constant gradient constraint. In: Li T T, Ling L W, Rodrigues J F, eds. Proceedings of the Luso-Chinese Symposium on Nonlinear Evolutionary Equations and their Applications. Singapore: World Scientific, 1999, 203–212

4. Zhu H. Characterization of variational inequalities in singular stochastic control. Dissertation for the Doctoral Degree. Providence, RI: Brown University, 1992

5. Dai M, Yi F. Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem. Preprint, 2007

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