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A variational inequality arising from European option pricing with transaction costs

https://doi.org/10.1007/s11425-007-0175-4
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/3-7643-7384-9_7openalex-snapshot
On the One-dimensional Parabolic Obstacle Problem with Variable Coefficients
inferredcites →https://doi.org/10.1007/978-1-4684-8965-1openalex-snapshot
Second Order Equations With Nonnegative Characteristic Form
inferredcites →https://doi.org/10.1016/0022-1236(75)90022-1openalex-snapshot
Parabolic variational inequalities in one space dimension and smoothness of the free boundary
inferredcites →https://doi.org/10.1016/j.jde.2008.11.003openalex-snapshot
Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem
inferredcites →https://doi.org/10.1080/03605309108820763openalex-snapshot
A free boundary problem related to singular stochastic control: the parabolic case
inferredcites →https://doi.org/10.1080/17442508008833156openalex-snapshot
Some solvable stochastic control problemst†
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1090/mmono/023openalex-snapshot
Linear and Quasi-linear Equations of Parabolic Type
inferredcites →https://doi.org/10.1137/0322054openalex-snapshot
Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
inferredcites →https://doi.org/10.1137/0331022openalex-snapshot
European Option Pricing with Transaction Costs
inferredcites →https://doi.org/10.1137/070703685openalex-snapshot
Finite Horizon Optimal Investment and Consumption with Transaction Costs
inferredcites →https://doi.org/10.1287/moor.15.4.676openalex-snapshot
Portfolio Selection with Transaction Costs

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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The Finite-Horizon Retirement Problem with Borrowing Constraint: A Zero-Sum Stopper vs. Singular-Controller Game
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A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization
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A problem of finite-horizon optimal switching and stochastic control for utility maximisation
inferred← citeshttps://doi.org/10.1007/s11425-010-4007-6openalex-snapshot
Global existence and blowup of solutions to a free boundary problem for mutualistic model
inferred← citeshttps://doi.org/10.1007/s11425-014-4885-0openalex-snapshot
Indifference pricing and hedging in a multiple-priors model with trading constraints
inferred← citeshttps://doi.org/10.1007/s11766-011-2294-5openalex-snapshot
Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
inferred← citeshttps://doi.org/10.1007/s42967-025-00569-0openalex-snapshot
A Study on the Properties of a Class of Optimal Switching Problems
inferred← citeshttps://doi.org/10.1016/j.amc.2021.126684openalex-snapshot
Optimal exercise of American puts with transaction costs under utility maximization
inferred← citeshttps://doi.org/10.1016/j.cam.2021.113639openalex-snapshot
Utility-indifference pricing of European options with proportional transaction costs
inferred← citeshttps://doi.org/10.1016/j.jmaa.2011.07.025openalex-snapshot
Parabolic variational inequality with parameter and gradient constraints
inferred← citeshttps://doi.org/10.1137/24m1628177openalex-snapshot
The Finite-Horizon Reversible Investment Problem with the Constant Elasticity of Variance Model
inferred← citeshttps://doi.org/10.1142/9789814383585_0003openalex-snapshot
Finite Horizon Optimal Investment and Consumption with CARA Utility and Proportional Transaction Costs
inferred← citeshttps://doi.org/10.2139/ssrn.6099208openalex-snapshot
Optimal Consumption and Portfolio Choice with Lifestyle Anticipation: Finite Dreams and Costly Lifestyle Revision
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