Regularity of solutions to the parabolic fractional obstacle problem

Luis Caffarelli; Alessio Figalli

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arXiv · 1101.5170

Regularity of solutions to the parabolic fractional obstacle problem

Luis Caffarelli·Alessio Figalli

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Abstract

In this paper we study a parabolic version of the fractional obstacle problem, proving almost optimal regularity for the solution. This problem is motivated by an American option model proposed by Menton which introduces, into the theory of option evaluation, discontinuous paths in the dynamics of the stock's prices.

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Luis Caffarelli, Alessio Figalli. 2011-01-26. Regularity of solutions to the parabolic fractional obstacle problem. https://arxiv.org/abs/1101.5170

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