Some results on partial differential equations and Asian options

Authors
Barucci, E Polidoro, S Vespri, V
Citation
E. Barucci et al., Some results on partial differential equations and Asian options, MATH MOD M, 11(3), 2001, pp. 475-497
Citations number
33
Categorie Soggetti
Mathematics
Journal title
MATHEMATICAL MODELS & METHODS IN APPLIED SCIENCES
ISSN journal
02182025 → ACNP
Volume
11
Issue
3
Year of publication
2001
Pages
475 - 497
Database
ISI
SICI code
0218-2025(200104)11:3<475:SROPDE>2.0.ZU;2-X
Abstract
dWe analyze partial differential equations arising in the evaluation of Asi an options. The equations are strongly degenerate partial differential equa tions in three dimensions. We show that the solution of the no-arbitrage pa rtial differential equation is sufficiently regular and standard numerical methods can be employed to approximate it.