VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
Zhou Yang, Fahuai Yi · Communications in Contemporary Mathematics · 2009
In this paper, we consider a parabolic variational inequality arising from the valuation of European installment put option. We prove the existence and uniqueness of the solution to the problem. Moreover, we obtain C∞ regularity and the bounds of the free boundary. Eventually, we show its numerical result by the binomial method.