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A free boundary problem coming from the perpetual American call options with utility
Published online by Cambridge University Press: 22 November 2012
Abstract
A free boundary problem, which comes from the model of the perpetual American call options with utility functions in financial market, is investigated. It is a degenerative parabolic free boundary problem and is studied by the line method. The existence, regularity and uniqueness of the solution as well as some properties of the free boundary are established.
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