A variational inequality arising from European option pricing with transaction costs

被引：7

作者：

Yi FaHuai ^{[1
]}

Yang Zhou ^{[1
]}

机构：

[1] S China Normal Univ, Sch Math Sci, Guangzhou 510631, Peoples R China

来源：

SCIENCE IN CHINA SERIES A-MATHEMATICS | 2008年 / 51卷 / 05期

基金：

中国国家自然科学基金;

关键词：

option pricing; transaction costs; free boundary; variational inequality;

D O I：

10.1007/s11425-007-0175-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we present a method which can transform a variational inequality with gradient constraints into a usual two obstacles problem in one dimensional case. The prototype of the problem is a parabolic variational inequality with the constraints of two first order differential inequalities arising from a two-dimensional model of European call option pricing with transaction costs. We obtain the monotonicity and smoothness of two free boundaries.

引用

页码：935 / 954

页数：20

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