✦ LIBER ✦

The free boundary problem of American butterfly option

✍ Scribed by Guan, Chonghu; Yi, Fahuai

Book ID: 120429140
Publisher: John Wiley and Sons
Year: 2013
Tongue: English
Weight: 472 KB
Volume: 37
Category: Article
ISSN: 0170-4214
DOI: 10.1002/mma.2784

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Free boundary and optimal stopping probl

Free boundary and optimal stopping problems for American Asian options

✍ Andrea Pascucci 📂 Article 📅 2007 🏛 Springer-Verlag 🌐 English ⚖ 456 KB

Probabilistic approach to free boundary

Probabilistic approach to free boundary problems and pricing of American options

✍ Ya. I. Belopolskaya; M. M. Romadanova 📂 Article 📅 2011 🏛 Springer US 🌐 English ⚖ 774 KB

On a free boundary problem for an Americ

On a free boundary problem for an American put option under the CEV process

✍ Miao Xu; Charles Knessl 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 240 KB

A free boundary problem coming from the

A free boundary problem coming from the perpetual American call options with utility

✍ LIPING, SONG; WANGHUI, YU 📂 Article 📅 2012 🏛 Cambridge University Press 🌐 English ⚖ 707 KB

On the regularity of the free boundary i

On the regularity of the free boundary in the parabolic obstacle problem. Application to American options

✍ 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

Regularity of the free boundary of an Am

Regularity of the free boundary of an American option on several assets

✍ Peter Laurence; Sandro Salsa 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 240 KB