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Discrete and Continuous Dynamical Systems - Series B
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Valuation of American strangle option: Variational inequality approach

Valuation of American strangle option: variational inequality approach
descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2019 Germany Publisher:American Institute of Mathematical Sciences (AIMS)Journal:Discrete and Continuous Dynamical Systems - B, volume 24, pages 755-781 (issn: 1531-3492, eissn: 1553-524X, Copyright policy )
Authors: Jeon, Junkee; Oh, Jehan;

doi: 10.3934/dcdsb.2018206

Valuation of American strangle option: Variational inequality approach

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

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Germany
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Keywords

American strangle options, Derivative securities (option pricing, hedging, etc.), PDEs in connection with game theory, economics, social and behavioral sciences, Free boundary problems for PDEs, variational inequality, option pricing, Financial applications of other theories, free boundary problem

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    popularity
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
3
Average
Average
Average
gold