Regularity of solutions to the parabolic fractional obstacle problem
classification
🧮 math.AP
keywords
problemfractionalobstacleoptionparabolicregularityalmostamerican
read the original abstract
In this paper we study a parabolic version of the fractional obstacle problem, proving almost optimal regularity for the solution. This problem is motivated by an American option model proposed by Menton which introduces, into the theory of option evaluation, discontinuous paths in the dynamics of the stock's prices.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.