A variational inequality arising from European option pricing with transaction costs  

作　　者：YI FaHuai YANG Zhou 

机构地区：[1]School of Mathematical Sciences,South China Normal University,Cuangzhou 510631,China

出　　处：《Science China Mathematics》2008年第5期935-954,共20页中国科学：数学（英文版）

基　　金：the National Natural Science Foundation of China (Grant No.10671075);the National Natural Science Foundation of Guangdong Province (Grant No.5005930);the University Special Research Fund for PhD Program (Grant No.20060574002)

摘　　要：In this paper we present a method which can transform a variational inequality with gradient constraints into a usual two obstacles problem in one dimensional case.The prototype of the problem is a parabolic variational inequality with the constraints of two first order differential inequalities arising from a two-dimensional model of European call option pricing with transaction costs.We obtain the monotonicity and smoothness of two free boundaries.In this paper we present a method which can transform a variational inequality with gradient constraints into a usual two obstacles problem in one dimensional case. The prototype of the problem is a parabolic variational inequality with the constraints of two first order differential inequalities arising from a two-dimensional model of European call option pricing with transaction costs. We obtain the monotonicity and smoothness of two free boundaries.

关 键 词：option pricing transaction costs free boundary variational inequality 35R35 

分 类 号：F830.9[经济管理—金融学] F224