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Bachelier-Version of Russian Option with a Finite Time Horizon

โœ Scribed by Kamenov, A. A.

Book ID
118219930
Publisher
Society for Industrial and Applied Mathematics
Year
2009
Tongue
English
Weight
172 KB
Volume
53
Category
Article
ISSN
0040-585X

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๐Ÿ“œ SIMILAR VOLUMES

A system of variational inequalities ari
A system of variational inequalities arising from finite expiry Russian option with two regimes
โœ Zhou Yang ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 249 KB

## 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