Abstract
In this paper, we investigate a time-dependent double obstacle problem associated with the model of European call option pricing with transaction costs. We prove the existence and uniqueness of a W 2,1 p,loc solution to the problem. We then characterize the behavior of the free boundaries in terms of continuity and values of limit points.
| Original language | English |
|---|---|
| Pages (from-to) | 615-640 |
| Number of pages | 26 |
| Journal | Kyungpook Mathematical Journal |
| Volume | 62 |
| Issue number | 4 |
| DOIs | |
| State | Published - 2022 |
Keywords
- Double obstacle problem
- Free boundary
- Option pricing
- Parabolic partial differential equation
- Time-dependent obstacle