Regularity of solutions to the parabolic fractional obstacle problem

Details Regularity of solutions to the parabolic fractional obstacle problem Regularity of solutions to the parabolic fractional obstacle problem

2011-01-26

arxiv.org/abs/1101.5170v1

Mathematics

Analysis of PDEs

Scientific paper

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.

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