Second-order integro-differential parabolic variational inequalities arising from the valuation of American option
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Discrete Mathematics and Combinatorics,Analysis
Link
http://link.springer.com/content/pdf/10.1186/1029-242X-2014-8.pdf
Reference16 articles.
1. Blanchet A: On the regularity of the free boundary in the parabolic obstacle problem application to American options. Nonlinear Anal. 2006, 65: 1362-1378. 10.1016/j.na.2005.10.009
2. Cox J, Ross S: The valuation of options for alternative stochastic processes. J. Financ. Econom. 1976, 3: 145-166. 10.1016/0304-405X(76)90023-4
3. Jeunesse M, Jourdain B: Regularity of the American Put option in the Black-Scholes model with general discrete dividends. Stoch. Process. Appl. 2012, 122: 3101-3125. 10.1016/j.spa.2012.05.009
4. Kohler M, Krzyzak A: Pricing of American options in discrete time using least squares estimates with complexity penalties. J. Stat. Plan. Inference 2012, 142: 2289-2307. 10.1016/j.jspi.2012.02.031
5. Forsyth PA, Vetzal KR: Quadratic convergence for valuing American options using a penalty method. SIAM J. Sci. Comput. 2002, 23: 2095-2122. 10.1137/S1064827500382324
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