PDE methods for free boundary problems in financial mathematics
2008 (English)Doctoral thesis, comprehensive summary (Other scientific)
We consider different aspects of free boundary problems that have financial applications. Papers I–III deal with American option pricing, in which case the boundary is called the early exercise boundary and separates the region where to hold the option from the region where to exercise it. In Papers I–II we obtain boundary regularity results by local analysis of the PDEs involved and in Paper III we perform local analysis of the corresponding stochastic representation.
The last paper is different in its character as we are dealing with an optimal switching problem, where a switching of state occurs when the underlying process crosses a free boundary. Here we obtain existence and regularity results of the viscosity solutions to the involved system of variational inequalities.
Place, publisher, year, edition, pages
Stockholm: KTH , 2008. , viii, 34 p.
Trita-MAT. MA, ISSN 1401-2278 ; 2008:03
IdentifiersURN: urn:nbn:se:kth:diva-4777ISBN: 978-91-7178-928-0OAI: oai:DiVA.org:kth-4777DiVA: diva2:13899
2008-06-05, Sal F3, KTH, Lindstedtsvägen 26, Stockholm, 14:00
Gomes, Diogo, Professor
QC 201006302008-05-292008-05-292010-07-01Bibliographically approved
List of papers