Variational Formulation of American Option Problems
Daniel J. Duffy
Abstract
Daniel J. Duffy
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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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)