AN INTEGRO-DIFFERENTIAL PARABOLIC VARIATIONAL INEQUALITY ARISING FROM THE VALUATION OF DOUBLE BARRIER AMERICAN OPTION

作     者：SUN Yudong SHI Yimin GU Xin 

作者机构：Department of Applied Mathematics Northwestern Polytechnical University Department of Methodology and Statistics Utrecht University 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2014年第27卷第2期

页      面：276-288页

核心收录：

学科分类：0810[工学-信息与通信工程] 1205[管理学-图书情报与档案管理] 12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 07[理学] 070104[理学-应用数学] 0811[工学-控制科学与工程] 0701[理学-数学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

基　　金：supported by the National Science Foundation of China under Grant Nos.71171164 and 70471057 the Doctorate Foundation of Northwestern Polytechnical University under Grant No.CX201235 

主　　题：American style barrier option existence integro-differential uniqueness variational inequality. 

摘      要：This paper studies the nonlinear variational inequality with integro-differential term arising from valuation of American style double barrier option. First, the authors use the penalty method to transform the variational inequality into a nonlinear parabolic initial boundary problem(i.e., penalty problem). Second, the existence and uniqueness of solution to the penalty problem are proved by using the Scheafer fixed point theory. Third, the authors prove the existence of variational inequality solution by showing the fact that the penalized PDE converges to the variational inequality. The uniqueness of solution to the variational inequality is also proved by contradiction.