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Parabolic obstacle problems applied to finance - A free-boundary-regularity approach
Purdue Univ, Dept Math, W Lafayette, IN 47907 USA..
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
2007 (English)In: RECENT DEVELOPMENTS IN NONLINEAR PARTIAL DIFFERENTIAL EQUATIONS / [ed] Danielli, D, AMER MATHEMATICAL SOC , 2007, p. 117-+Conference paper, Published paper (Refereed)
Abstract [en]

The parabolic obstacle problem within financial mathematics is the main object of discussion in this paper. We overview various aspects of the problem, ranging from the fully nonlinear case to the specific equations in applications. The focus will be on the free boundary and its behavior close to initial state, and the fixed boundary. In financial terms these can be translated as the behavior of the exercise boundary for American option, close to maturity and close to the barrier. From free-boundary-regularity point of view, such problems have not been considered earlier.

Place, publisher, year, edition, pages
AMER MATHEMATICAL SOC , 2007. p. 117-+
Series
Contemporary Mathematics, ISSN 0271-4132 ; 439
Keywords [en]
free boundary, obstacle problem, global solution, blow-up, American type contracts, payoff
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-242373ISI: 000250326800007ISBN: 978-0-8218-3740-5 (print)OAI: oai:DiVA.org:kth-242373DiVA, id: diva2:1288356
Conference
2nd Symposium on Analysis and PDEs, JUN 07-10, 2004, Purdue Univ, W Lafayette, IN
Note

QC 20190213

Available from: 2019-02-13 Created: 2019-02-13 Last updated: 2019-02-13Bibliographically approved

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