Time-dependent Double Obstacle Problem Arising from European Option Pricing with Transaction Costs

키워드

참고문헌 (13)

1. M. Akian, "On an investment-consumption model with transaction costs", SIAM J. Control Optim, 34(1), pp.329~364 (1996)
2. X. Chen, "Parabolic variational inequality with parameter and gradient constraints", J. Math. Anal. Appl, 385(2), pp.928~946 (2012)
3. M. Dai, "Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem", J. Differential Equations, 246(4), pp.1445~1469 (2009)
4. M. H. A. Davis, "European option pricing with transaction costs", SIAM J. Control Optim, 31(2), pp.470~493 (1993)
5. A. Friedman, "Parabolic variational inequalities in one space dimension and smooth-ness of the free boundary", J. Functional Analysis, 18, pp.151~176 (1975)
6. P. Guasoni, "Optimal investment with transaction costs and without semimartingales", Ann. Appl. Probab, 12(4), pp.1227~1246 (2002)
7. G. M. Lieberman, "Second order parabolic differential equations" (1996), World Scientific Pub-lishing Co., Inc
8. Organisation for Economic Co-Operation and Development, "OECD Economic Outlook, 81 edition", Organization for Economic Co-operation and Development, ~ (2007)
9. O. A. Oleĭnik, "Second order equations with nonnegative char-acteristic form" (1973), Plenum Press
10. R. Pollin, "Securities transaction taxes for US financial markets", Eastern Economic Journal, 29(4), pp.527~558 (2003)
11. K. Tso, "On an Aleksandrov-Bakel’man type maximum principle for second-order parabolic equations", Comm. Partial Differential Equations, 10(5), pp.543~553 (1985)
12. Z. Yang, "Valuation of European installment put option: variational inequal-ity approach", Commun. Contemp. Math, 11(2), pp.279~307 (2009)
13. F. Yi, "A variational inequality arising from European option pricing with transaction costs", Sci. China Ser. A, 51(5), pp.935~954 (2008)

관련 논문AI추천