Abstract
Many decision problems in modern finance can be mathematically formulated as optimal stoppingtime or singular stochastic control problems. These problems belong to variational inequality problems from the point of view of partial differential equations, and the corresponding free bounds correspond to optimal strategies. This review gives some typical variational inequality models in finance and related results. These models come from three important research directions in modern finance: financial derivatives pricing, portfolio selection, and corporate finance.
| Translated title of the contribution | Variational inequality problems in finance |
|---|---|
| Original language | Chinese (Simplified) |
| Pages (from-to) | 355-376 |
| Number of pages | 22 |
| Journal | Scientia Sinica Mathematica |
| Volume | 54 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Mar 2024 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 10 Reduced Inequalities
Keywords
- corporate finance
- derivatives pricing
- free boundary
- optimal stopping
- portfolio selection
- singular control
- variational inequality
ASJC Scopus subject areas
- General Mathematics
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