Section: New Results

American options

With Giulia Terenzi, D. Lamberton has been working on American options in Heston's model. Some results about existence and uniqueness for the associated variational inequality, in suitable weighted Sobolev spaces (see Feehan and co-authors for recent results on elliptic problems) have been obtained, as well as some results on monotonicity and regularity properties of the price function. A paper on this topic has just been submitted.