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American lookback option with fixed strike price—2-D parabolic variational inequality |
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| Authors: | Xiaoshan Chen Lihe Wang |
| Institution: | a School of Mathematical Sciences, South China Normal University, Guangzhou 510631, China b Department of Mathematics, University of Iowa, Iowa City, IA 52242, United States c Xi?an Jiaotong University, China |
| Abstract: | In this paper we study a 2-dimensional parabolic variational inequality with financial background. We define a suitable weak formula and obtain existence and uniqueness of the problem. Moreover we analyze the behaviors of the free boundary surface. |
| Keywords: | 35R35 |
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