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

共 50 条

[21] On option pricing in binomial market with transaction costs
Alexander V. Melnikov
Yury G. Petrachenko
Finance and Stochastics, 2005, 9 : 141 - 149
[22] On option pricing in binomial market with transaction costs
Melnikov, AV
Petrachenko, YG
FINANCE AND STOCHASTICS, 2005, 9 (01) : 141 - 149
[23] Time-dependent Double Obstacle Problem Arising from Eu-ropean Option Pricing with Transaction Costs
Oh, Jehan
Woo, Namgwang
KYUNGPOOK MATHEMATICAL JOURNAL, 2022, 62 (04): : 615 - 640
[24] Foreign currency option pricing with proportional transaction costs
Li S.
Li S.
Applied Mathematics-A Journal of Chinese Universities, 2006, 21 (4) : 383 - 396
[25] FOREIGN CURRENCY OPTION PRICING WITH PROPORTIONAL TRANSACTION COSTS
Li Shujin Li Shenghong Department of Mathematics
AppliedMathematicsAJournalofChineseUniversities(SeriesB), 2006, (04) : 383 - 396
[26] THERE IS NO NONTRIVIAL HEDGING PORTFOLIO FOR OPTION PRICING WITH TRANSACTION COSTS
Soner, H. M.
Shreve, S. E.
Cvitanic, J.
ANNALS OF APPLIED PROBABILITY, 1995, 5 (02): : 327 - 355
[27] Computing option pricing models under transaction costs
Company, R.
Jodar, L.
Pintos, J. -R.
Rosello, M. -D.
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2010, 59 (02) : 651 - 662
[28] On barrier option pricing in binomial market with transaction costs
Sun Chao
Yang Jing-Yang
Li Sheng-Hong
APPLIED MATHEMATICS AND COMPUTATION, 2007, 189 (02) : 1505 - 1516
[29] A variational inequality arising from American installment call options pricing
Yang, Zhou
Yi, Fahuai
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2009, 357 (01) : 54 - 68
[30] Regularity of weak solutions to a class of fourth order parabolic variational inequality problems arising from swap option pricing
Feng, Yuejiao
AIMS MATHEMATICS, 2023, 8 (06): : 13889 - 13897

← 1 2 3 4 5 →