P. Jaillet, D. Lamberton and B. Lapeyre, “Variational Inequalities and the Pricing of American Options,” Acta Applied Mathematics, Vol. 21, No. 3, 1990, pp. 263-289.
has been cited by the following article:
TITLE: Some Properties for the American Option-Pricing Model
AUTHORS: Hong-Ming Yin
KEYWORDS: American Option Model; Regularity of Free Boundary; Comparison Principle
JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.3, August 31, 2012
ABSTRACT: In this paper we study global properties of the optimal excising boundary for the American option-pricing model. It is shown that a global comparison principle with respect to time-dependent volatility holds. Moreover, we proved a global regularity for the free boundary.