American lookback option with fixed strike price—2-D parabolic variational inequality

Xiaoshan Chen; Fahuai Yi; Lihe Wang

doi:10.1016/j.jde.2011.07.027

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American lookback option with fixed strike price—2-D parabolic variational inequality

Xiaoshan Chen, Fahuai Yi and Lihe Wang

Journal of Differential Equations, Vol.251(11), pp.3063-3089

2011

DOI: 10.1016/j.jde.2011.07.027

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Abstract

In this paper we study a 2-dimensional parabolic variational inequality with financial background. We define a suitable weak formula and obtain existence and uniqueness of the problem. Moreover we analyze the behaviors of the free boundary surface.

Fixed strike price

American lookback option

Free boundary

Details

Title: Subtitle: American lookback option with fixed strike price—2-D parabolic variational inequality
Creators: Xiaoshan Chen - School of Mathematical Sciences, South China Normal University, Guangzhou 510631, China
Fahuai Yi - School of Mathematical Sciences, South China Normal University, Guangzhou 510631, China
Lihe Wang - Department of Mathematics, University of Iowa, Iowa City, IA 52242, United States
Resource Type: Journal article
Publication Details: Journal of Differential Equations, Vol.251(11), pp.3063-3089
DOI: 10.1016/j.jde.2011.07.027
ISSN: 0022-0396
eISSN: 1090-2732
Publisher: Elsevier Inc
Grant note: 10971073; 10901060 / National Natural Science Foundation of China 9451063101002091 / National Natural Science Foundation of GuangDong province
Language: English
Date published: 2011
Academic Unit: Mathematics
Record Identifier: 9984083857102771

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