A variational inequality arising from European option pricing with transaction costs

被引：11

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

共 50 条

[1] A variational inequality arising from European option pricing with transaction costs
YI FaHuai~+ YANG Zhou School of Mathematical Sciences
[J]. Science China Mathematics, 2008, (05) : 935 - 954
[2] A variational inequality arising from European option pricing with transaction costs
FaHuai Yi
Zhou Yang
[J]. Science in China Series A: Mathematics, 2008, 51
[3] EUROPEAN OPTION PRICING WITH TRANSACTION COSTS
DAVIS, MHA
PANAS, VG
ZARIPHOPOULOU, T
[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1993, 31 (02) : 470 - 493
[4] Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs
W. Li
S. Wang
[J]. Journal of Optimization Theory and Applications, 2009, 143 : 279 - 293
[5] Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs
Li, W.
Wang, S.
[J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2009, 143 (02) : 279 - 293
[6] A variational inequality arising from European installment call options pricing
Yi, Fahuai
Yang, Zhou
Wang, Xiaohua
[J]. SIAM JOURNAL ON MATHEMATICAL ANALYSIS, 2008, 40 (01) : 306 - 326
[7] European Option Pricing with Transaction Costs in Levy Jump Environment
Li, Jiayin
Shu, Huisheng
Kan, Xiu
[J]. ABSTRACT AND APPLIED ANALYSIS, 2014,
[8] OPTION PRICING BOUNDS WITH TRANSACTION COSTS
CONSTANTANTINIDES, GM
[J]. JOURNAL OF FINANCE, 1994, 49 (03): : 1064 - 1064
[9] Option pricing, transaction costs and nonlinearities
Wilmott, P.
Whalley, A.E.
[J]. Zeitschrift fuer Angewandte Mathematik und Mechanik, ZAMM, Applied Mathematics and Mechanics, 76 (Suppl 3):
[10] Option pricing, transaction costs and nonlinearities
Wilmott, P
Whalley, AE
[J]. ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND MECHANIK, 1996, 76 : 85 - 88

← 1 2 3 4 5 →