| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 841018 | Nonlinear Analysis: Theory, Methods & Applications | 2011 | 18 Pages |
Abstract
A parabolic variational inequality is investigated which comes from the study of the optimal exercise strategy for the perpetual American executive stock options in financial markets. It is a degenerate parabolic variational inequality and its obstacle condition depends on the derivative of the solution with respect to the time variable. The method of discrete time approximation is used and the existence and regularity of the solution are established.
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Authors
Liping Song, Wanghui Yu,