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	A parabolic variational inequality arising from the valuation of strike reset options
	Yang, Zhou ; Yi, Fahuai ; Dai, Min
	2006
关键词	option pricing strike reset option free boundary variational inequality American option SHOUT OPTIONS AMERICAN BOUNDARY
英文摘要	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 one-dimensional parabolic variational inequality, or equivalently, a free boundary problem, where the free boundary just corresponds to the optimal reset strategy adopted by the holder of the option. This paper is concerned with the theoretical analysis of the model. The existence and uniqueness of the solution are established. Furthermore, we study properties of the free boundary. The monotonicity and C(infinity) smoothness of the free boundary are proven in some situations. (c) 2006 Elsevier Inc. All rights reserved.; Mathematics; SCI(E); 3; ARTICLE; 2; 481-501; 230
语种	英语
出处	SCI
出版者	微分方程杂志
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/251284]
专题	数学科学学院
推荐引用方式 GB/T 7714	Yang, Zhou,Yi, Fahuai,Dai, Min. A parabolic variational inequality arising from the valuation of strike reset options. 2006-01-01.

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