Obstacle problem for arithmetic Asian options (Q1046556): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Set OpenAlex properties.
Property / OpenAlex ID
 
Property / OpenAlex ID: W2097916665 / rank
 
Normal rank

Revision as of 22:23, 19 March 2024

scientific article
Language Label Description Also known as
English
Obstacle problem for arithmetic Asian options
scientific article

    Statements

    Obstacle problem for arithmetic Asian options (English)
    0 references
    0 references
    0 references
    22 December 2009
    0 references
    degenerate parabolic PDE
    0 references
    SDE
    0 references
    local volatility
    0 references
    arithmetic average and geometric average Asian option
    0 references
    Amerasian option
    0 references
    Feynamn-Kač
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references