Time-dependent Double Obstacle Problem Arising from Eu-ropean Option Pricing with Transaction Costs

초록

In this paper, we investigate a time-dependent double obstacle problem asso-ciated with the model of European call option pricing with transaction costs. We prove the existence and uniqueness of a W-p,W-lOc (2,1) solution to the problem. We then characterize the behavior of the free boundaries in terms of continuity and values of limit points.

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