Asset Details
Do you wish to reserve the book?
Obstacle problems for nonlocal operators
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Obstacle problems for nonlocal operators
Do you wish to request the book?
Obstacle problems for nonlocal operators
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Book Chapter
Obstacle problems for nonlocal operators
Overview
We prove existence, uniqueness, and regularity of viscosity solutions to the stationary and evolution obstacle problems
defined by a class of nonlocal operators that are not stable-like and may have supercritical drift. We give sufficient
conditions on the coefficients of the operator to obtain Hölder and Lipschitz continuous solutions. The class of nonlocal
operators that we consider include non-Gaussian asset price models widely used in mathematical finance, such as Variance Gamma
Processes and Regular Lévy Processes of Exponential type. In this context, the viscosity solutions that we analyze coincide with
the prices of perpetual and finite expiry American options.
Publisher
American Mathematical Society
ISBN
9781470441104, 1470441101
We currently cannot retrieve any items related to this title. Kindly check back at a later time.