Kyungpook Mathematical Journal

Department of Mathematics, Kyungpook National University (경북대학교 자연과학대학 수학과)
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Time-dependent Double Obstacle Problem Arising from European Option Pricing with Transaction Costs

  • Jehan, Oh (Department of Mathematics, Kyungpook National University) ;
  • Namgwang, Woo (Department of Mathematics, Kyungpook National University)
  • Received : 2022.10.15
  • Accepted : 2022.11.28
  • Published : 2022.12.31
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Abstract

In this paper, we investigate a time-dependent double obstacle problem associated with the model of European call option pricing with transaction costs. We prove the existence and uniqueness of a W2,1p,loc solution to the problem. We then characterize the behavior of the free boundaries in terms of continuity and values of limit points.

Keywords

Acknowledgement

This research was supported by Kyungpook National University Research Fund, 2019.

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