THE REGULARITY OF THE FREE BOUNDARY FOR STRIKE RESET OPTION-中国期刊网

摘要 Astrikeresetoptionisanoptionthatallowsitsholdertoresetthestrikepricetotheprevailingunderlyingassetpriceatamomentchosenbytheholder.Thepricingmodeloftheoptioncanbeformulatedasaparabolicvariationalinequalityandtheoptimalresetstrategyisthefreeboundary.ThesmoothnessofthefreeboundaryinsomecaseswasshowedinourarticlepublishedinJDE.Wewouldproveitssmoothnessintheothercaseinthispaperbyageneralizedcomparisonprincipleforthevariationalinequality.

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THE REGULARITY OF THE FREE BOUNDARY FOR STRIKE RESET OPTION

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THE REGULARITY OF THE FREE BOUNDARY FOR STRIKE RESET OPTION

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