Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options

• In this paper we prove optimal interior regularity for solutions to the obstacle problem for a class of second order differential operators of Kolmogorov type. We treat smooth obstacles as well as non-smooth obstacles. All our proofs follow the same line of thought and are based on blow-ups, compactness, barriers and arguments by contradiction. The problem considered arises in financial mathematics, when considering path-dependent derivative contracts with early exercise feature.

Subject headings

NATURVETENSKAP  -- Matematik -- Matematisk analys (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Mathematical Analysis (hsv//eng)

NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

Publication and Content Type

ref (subject category)

art (subject category)