Article
Kyungpook Mathematical Journal 2022; 62(4): 615-640
Published online December 31, 2022
Copyright © Kyungpook Mathematical Journal.
Time-dependent Double Obstacle Problem Arising from European Option Pricing with Transaction Costs
Jehan Oh* and Namgwang Woo
Department of Mathematics, Kyungpook National University, Daegu 41566, Republic of Korea
e-mail : jehan.oh@knu.ac.kr and wng3717@knu.ac.kr
Received: October 15, 2022; Accepted: November 28, 2022
In this paper, we investigate a time-dependent double obstacle problem associated with the model of European call option pricing with transaction costs. We prove the existence and uniqueness of a
Keywords: double obstacle problem, parabolic partial differential equation, time-dependent obstacle, free boundary, option pricing.