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POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING

Part of: Probabilistic methods, simulation and stochastic differential equations Mathematical finance

Published online by Cambridge University Press:  02 November 2017

LOUIS BHIM
LOUIS BHIM*
Affiliation:
School of Mathematics and Statistics, University of Sydney, NSW 2006, Australia email [email protected]
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Abstract

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Keywords

obstacle problemoptimal stoppingdual approachfree-boundary problempolynomial boundsAmerican option priceregime switching

MSC classification

Primary: 65C99: None of the above, but in this section
Secondary: 65K15: Numerical methods for variational inequalities and related problems 90C22: Semidefinite programming 91G80: Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems)
Type
Abstracts of Australasian PhD Theses
Information
Bulletin of the Australian Mathematical Society , Volume 97 , Issue 1 , February 2018 , pp. 174 - 176
Copyright
© 2017 Australian Mathematical Publishing Association Inc. 

References

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