Mastroeni, Loretta; Matzeu, Michele A degenerate parabolic variational inequality for the American option pricing problem. (English) Zbl 0914.49007 Math. Models Methods Appl. Sci. 8, No. 3, 485-493 (1998). Summary: A formulation in terms of degenerate parabolic variational inequalities for the price of an American put option is stated. The usual uniform ellipticity condition is weakened by the presence of a weight function. Then the appropriate framework is that of some suitable “weighted” Sobolev spaces. One applies a result previously stated by the authors [Adv. Math. Sci. Appl. 7, No. 2, 651-666 (1997; preceding review)]. MSC: 49J40 Variational inequalities 91B24 Microeconomic theory (price theory and economic markets) Keywords:American option pricing; parabolic variational inequalities Citations:Zbl 0914.49006 PDFBibTeX XMLCite \textit{L. Mastroeni} and \textit{M. Matzeu}, Math. Models Methods Appl. Sci. 8, No. 3, 485--493 (1998; Zbl 0914.49007) Full Text: DOI