A nonlinear partial differential equation for American options in the entire domain of the state variable

被引：21

作者：

Kholodnyi, VA ^{[1
]}

机构：

[1] Integrated Energy Serv Inc, Fairfield, IA USA

来源：

关键词：

American option; semilinear parabolic equation; discontinuous nonlinearity; multivalued generator;

D O I：

10.1016/S0362-546X(97)00207-1

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

[No abstract available]

引用

页码：5059 / 5070

页数：12

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[5]

Cannon J.R., 1984, The one-dimensional heat equation

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COX, JC ;

ROSS, SA ;

RUBINSTEIN, M .

[7]

DAVIDSON C, 1996, RISK APR, P55

[8]

DIAZ JI, 1985, NONLINEAR PARTIAL DI, V1

[9]

FATTORINI HO, 1983, CAUCHY PROBLEM

[10]

Heikkila S., 1994, Monotone iterative technique for nonlinear discontinues differential equations