2006Unpublished venueRequires access

Variational Formulation of American Option Problems

Daniel J. Duffy

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Abstract

This chapter contains sections titled: Introduction and Objectives A Short History of Variational Inequalities A First Parabolic Variational Inequality Functional Analysis Background Kinds of Variational Inequalities Variational Inequalities using Rothe's Methods American Options and Variational Inequalities Summary and Conclusions

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What this paper is about

This chapter contains sections titled: Introduction and Objectives A Short History of Variational Inequalities A First Parabolic Variational Inequality Functional Analysis Background Kinds of Variational Inequalities Variational Inequalities using Rothe's Methods American Options and Variational Inequalities Summary and Conclusions

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Available abstract

This chapter contains sections titled: Introduction and Objectives A Short History of Variational Inequalities A First Parabolic Variational Inequality Functional Analysis Background Kinds of Variational Inequalities Variational Inequalities using Rothe's Methods American Options and Variational Inequalities Summary and Conclusions

Key concepts: Variational inequality, Inequality, Variational analysis, Applied mathematics, Mathematics, Variational integrator, Variational method, Calculus (dental)

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