کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4613560 1631516 2006 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A parabolic variational inequality arising from the valuation of strike reset options
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
A parabolic variational inequality arising from the valuation of strike reset options
چکیده انگلیسی

A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a one-dimensional parabolic variational inequality, or equivalently, a free boundary problem, where the free boundary just corresponds to the optimal reset strategy adopted by the holder of the option. This paper is concerned with the theoretical analysis of the model. The existence and uniqueness of the solution are established. Furthermore, we study properties of the free boundary. The monotonicity and C∞ smoothness of the free boundary are proven in some situations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Differential Equations - Volume 230, Issue 2, 15 November 2006, Pages 481-501