Seminario del 2008

Ottobre
28
2008
Kay Nyström
Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options.
analisi matematica
We prove optimal interior regularity for solutions to the obstacle problem for a class of second order differential operators of Kolmogorov type. We treat smooth obstacles as well as non-smooth obstacles. All our proofs follow the same line of thought and are based on blow-ups, compactness, barriers and arguments by contradiction. This problem arises in financial mathematics, when considering path-dependent derivative contracts with the early exercise feature
organizzato da: Sergio Polidoro

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