Valuation of European Installment Put Options — Variational Inequality Approach 1
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چکیده
Abstract: In this paper we consider a parabolic variational inequality arising from the valuation of European installment put options. We prove the existence and uniqueness of the solution to the problem. Moreover, we obtain C∞ regularity and the bounds of the free boundary. Eventually we show its numerical result by the binomial method.
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تاریخ انتشار 2008