Regularity of solutions to the parabolic fractional obstacle problem
Regularity of solutions to the parabolic fractional obstacle problem
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DOI：
10.1515/crelle.2012.036
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发表时间：
2011-01
期刊：
影响因子：
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通讯作者：
L. Caffarelli;A. Figalli
中科院分区：
文献类型：
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作者：
L. Caffarelli;A. Figalli
本文研究抛物型分数障碍问题，证明了解的几乎最优正则性。这个问题是由Menton提出的美式期权模型引起的，该模型在期权评估理论中引入了股票价格动态中的不连续路径。
In this paper we study a parabolic version of the fractional obstacle problem, proving almost optimal regularity for the solution. This problem is motivated by an American option model proposed by Menton which introduces, into the theory of option evaluation, discontinuous paths in the dynamics of the stock's prices.