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Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options

✍ Scribed by Marie Frentz; Kaj Nyström; Andrea Pascucci; Sergio Polidoro

Publisher
Springer
Year
2009
Tongue
English
Weight
375 KB
Volume
347
Category
Article
ISSN
0025-5831

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✍ Adrien Blanchet 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 467 KB

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 expone