Published Paper

Inserted: 16 oct 2011
Last Updated: 14 may 2012

Journal: J. Reine Angew. Math.
Year: 2011

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.

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• fractional_heats.pdf