A parabolic variational inequality related to the perpetual American executive stock options期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

A parabolic variational inequality related to the perpetual American executive stock options

Authors:	Liping Song Wanghui Yu

Affiliation:	^a School of Mathematic Science, Soochow University, Suzhou 215006, China ^b Research Center of Financial Engineering, Soochow University, Suzhou 215006, China ^c Department of Mathematics, Putian University, Putian 351100, China

Abstract:	A parabolic variational inequality is investigated which comes from the study of the optimal exercise strategy for the perpetual American executive stock options in financial markets. It is a degenerate parabolic variational inequality and its obstacle condition depends on the derivative of the solution with respect to the time variable. The method of discrete time approximation is used and the existence and regularity of the solution are established.

Keywords:	35A25 35R35 35Q99
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