We prove existence, regularity and a Feynman-Kac representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.
A. Pascucci, L. Monti (2009). Obstacle problem for Arithmetic Asian options. COMPTES RENDUS MATHÉMATIQUE, 347, 1443-1446 [10.1016/j.crma.2009.10.019].
Obstacle problem for Arithmetic Asian options
PASCUCCI, ANDREA;MONTI, LAURA
2009
Abstract
We prove existence, regularity and a Feynman-Kac representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.File in questo prodotto:
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