An integro-differential parabolic variational inequality arising from the valuation of double barrier American option.
Yudong SunYimin ShiXin GuPublished in: J. Syst. Sci. Complex. (2014)
Keyphrases
- variational inequalities
- real option
- sensitivity analysis
- variational inequality problems
- complementarity problems
- primal dual
- set valued
- convex sets
- hilbert spaces
- linear complementarity problem
- fixed point
- newton method
- boundary value problem
- nash equilibrium
- boundary conditions
- traffic assignment
- feasible set
- network equilibrium model
- pairwise
- linear program