Time-dependent Double Obstacle Problem Arising from Eu-ropean Option Pricing with Transaction Costs

被引：0

作者：

Oh, Jehan ^{[1
]}

Woo, Namgwang ^{[1
]}

机构：

[1] Kyungpook Natl Univ, Dept Math, Daegu 41566, South Korea

来源：

KYUNGPOOK MATHEMATICAL JOURNAL | 2022年 / 62卷 / 04期

关键词：

double obstacle problem; parabolic partial differential equation; time-dependent obstacle; free boundary; option pricing; VARIATIONAL INEQUALITY; INVESTMENT;

D O I：

10.5666/KMJ.2022.62.4.615

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we investigate a time-dependent double obstacle problem asso-ciated with the model of European call option pricing with transaction costs. We prove the existence and uniqueness of a W-p,W-lOc (2,1) solution to the problem. We then characterize the behavior of the free boundaries in terms of continuity and values of limit points.

引用

页码：615 / 640

页数：26

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