VALUATION OF AMERICAN STRANGLE OPTION: VARIATIONAL INEQUALITY APPROACH

Jeon J, Oh J. VALUATION OF AMERICAN STRANGLE OPTION: VARIATIONAL INEQUALITY APPROACH. DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B. 2019;24(2):755-781.In this paper, we investigate a parabolic variational inequality problem associated with the American strangle option pricing. We obtain the existence and uniqueness of W-p,loc(2,1) solution to the problem. Also, we analyze the smoothness and monotonicity of two free boundaries. Finally, numerical results of the model based on this problem are described and used to show the boundary properties and the price behavior