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A semilinear Black and Scholes partial differential equation for valuing American options |
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| Authors: | Fred E Benth Kenneth H Karlsen Kristin Reikvam |
| Institution: | (1) Department of Mathematics, University of Oslo, P.O. Box 1053, Blindern, 0316 Oslo, Norway (e-mail: {fredb,kre}@math.uio.no) , NO;(2) Department of Mathematics, University of Bergen, Johs. Brunsgt. 12, 5008 Bergen, Norway (e-mail: kennethk@mi.uib.no) , NO |
| Abstract: | |
| Keywords: | : American options semilinear Black and Scholes partial differential equation viscosity solution existence comparison result uniqueness |
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