American lookback option with fixed strike price-2-D parabolic variational inequality

作者：Chen, Xiaoshan; Yi, Fahuai^*; Wang, Lihe

来源：Journal of Differential Equations, 2011, 251(11): 3063-3089.

DOI：10.1016/j.jde.2011.07.027

• American lookback option
• Fixed strike price
• Free boundary

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.

• 出版日期2011-12-1
• 单位西安交通大学; 华南师范大学