TY - JOUR
T1 - Valuation of American strangle option
T2 - Variational inequality approach
AU - Jeon, Junkee
AU - Oh, Jehan
N1 - Publisher Copyright:
© 2018 American Institute of Mathematical Sciences. All rights reserved.
PY - 2019/2
Y1 - 2019/2
N2 - In this paper, we investigate a parabolic variational inequality problem associated with the American strangle option pricing. We obtain the existence and uniqueness of W2,1 p,loc solution to the problem. Also, we analyze the smoothness and monotonicity of two free boundaries. Finally, numerical results of the model based on this problem are described and used to show the boundary properties and the price behavior.
AB - In this paper, we investigate a parabolic variational inequality problem associated with the American strangle option pricing. We obtain the existence and uniqueness of W2,1 p,loc solution to the problem. Also, we analyze the smoothness and monotonicity of two free boundaries. Finally, numerical results of the model based on this problem are described and used to show the boundary properties and the price behavior.
KW - American strangle options
KW - Free boundary problem
KW - Option pricing
KW - Variational inequality
UR - http://www.scopus.com/inward/record.url?scp=85056609457&partnerID=8YFLogxK
U2 - 10.3934/dcdsb.2018206
DO - 10.3934/dcdsb.2018206
M3 - Article
AN - SCOPUS:85056609457
SN - 1531-3492
VL - 24
SP - 755
EP - 781
JO - Discrete and Continuous Dynamical Systems - Series B
JF - Discrete and Continuous Dynamical Systems - Series B
IS - 2
ER -