THE REGULARITY OF THE FREE BOUNDARY FOR |STRIKE RESET OPTION

doi:10.1016/S0252-9602(10)60165-8

数学物理学报(英文版) ›› 2010, Vol. 30 ›› Issue (5): 1721-1729.doi: 10.1016/S0252-9602(10)60165-8

THE REGULARITY OF THE FREE BOUNDARY FOR |STRIKE RESET OPTION

杨舟

School of Mathematical Sciences, South China Normal University, Guangzhou 510631, China

收稿日期:2007-11-30 出版日期:2010-09-20 发布日期:2010-09-20
基金资助:
The project is supported by National Natural Science Foundation of China (10901060, 10971073, 1081056), and Natural Science Foundation of Guangdong Province (9451063101002091).

THE REGULARITY OF THE FREE BOUNDARY FOR |STRIKE RESET OPTION

YANG Zhou

School of Mathematical Sciences, South China Normal University, Guangzhou 510631, China

Received:2007-11-30 Online:2010-09-20 Published:2010-09-20
Supported by:
The project is supported by National Natural Science Foundation of China (10901060, 10971073, 1081056), and Natural Science Foundation of Guangdong Province (9451063101002091).

摘要/Abstract

摘要：

A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a parabolic variational inequality and the optimal reset strategy is the free boundary. The smoothness of the free boundary in some cases was showed in our article published in JDE. We would prove its smoothness in the other case in this paper by a generalized comparison principle for the variational inequality.

关键词: strike reset option, free boundary, variational inequality, the comparison principle

Abstract:

Key words: strike reset option, free boundary, variational inequality, the comparison principle

中图分类号:

35R35

杨舟. THE REGULARITY OF THE FREE BOUNDARY FOR |STRIKE RESET OPTION[J]. 数学物理学报(英文版), 2010, 30(5): 1721-1729.

YANG Zhou. THE REGULARITY OF THE FREE BOUNDARY FOR |STRIKE RESET OPTION[J]. Acta mathematica scientia,Series B, 2010, 30(5): 1721-1729.

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THE REGULARITY OF THE FREE BOUNDARY FOR |STRIKE RESET OPTION

THE REGULARITY OF THE FREE BOUNDARY FOR |STRIKE RESET OPTION

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