کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
844860 908623 2006 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مهندسی (عمومی)
پیش نمایش صفحه اول مقاله
On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
چکیده انگلیسی

This paper is devoted to local regularity results on the free boundary of the one-dimensional parabolic obstacle problem with variable coefficients. We give an energy criterion and a density criterion for characterising the subsets of the free boundary which are Hölder continuous in time with exponent 1/2. Our results apply in the theory of American options. As an illustration, we apply these results to the generalised Black–Scholes model of a complete market which rules out arbitrage if the volatility and the interest rate do not depend on time. In this case we prove that the exercise boundary of the American put and call options are Hölder continuous with exponent 1/2 in time for every time.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Nonlinear Analysis: Theory, Methods & Applications - Volume 65, Issue 7, 1 October 2006, Pages 1362–1378
نویسندگان
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