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A Variational Inequality Arising from European Installment Call Options Pricing

✍ Scribed by Yi, Fahuai; Yang, Zhou; Wang, Xiaohua

Book ID: 118197645
Publisher: Society for Industrial and Applied Mathematics
Year: 2008
Tongue: English
Weight: 381 KB
Volume: 40
Category: Article
ISSN: 0036-1410
DOI: 10.1137/060670353

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## Abstract In this paper we consider a system of variational inequalities arising from the value of finite expiry Russian option with two regimes. We achieve the existence and uniqueness of the solution to the problem. Moreover, we show that the free boundaries are infinitely differentiable and mo