Geodesic
Regularity of free boundary arising from optimal exercise of perpetual executive stock options
Cong Qin1 ; Xinfu Chen2 ; Xin Lai3 ; Wanghui Yu1
1Soochow University, Jiangsu, China
2University of Pittsburgh, United States
3Harbin Institute of Technology, Heilongjiang, China
Interfaces and free boundaries, Tome 17 (2015) no. 1, pp. 69-92

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DOI

In this paper we convert a variational inequality modeling perpetual executive stock options to a degenerate Stefan type free boundary problem where the free boundary is related to the boundary of optimal exercise and non-exercise regions. We establish the regularity of the free boundary by solving directly the resulting free boundary problem.
DOI : 10.4171/ifb/334
Classification : 35-XX, 91-XX
Mots-clés : Free boundary problem, variational inequality, executive stock option, optimal exercise

Cong Qin  1   ; Xinfu Chen  2   ; Xin Lai  3   ; Wanghui Yu  1

1 Soochow University, Jiangsu, China
2 University of Pittsburgh, United States
3 Harbin Institute of Technology, Heilongjiang, China 
Cong Qin; Xinfu Chen; Xin Lai; Wanghui Yu. Regularity of free boundary arising from optimal exercise of perpetual executive stock options. Interfaces and free boundaries, Tome 17 (2015) no. 1, pp. 69-92. doi: 10.4171/ifb/334
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     title = {Regularity of free boundary arising from optimal exercise of perpetual executive stock options},
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     pages = {69--92},
     year = {2015},
     volume = {17},
     number = {1},
     doi = {10.4171/ifb/334},
     url = {http://geodesic.mathdoc.fr/articles/10.4171/ifb/334/}
}
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