Obstacle problem for arithmetic Asian options (Q1046556): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 0910.4257 / rank | |||
Normal rank | |||
Revision as of 19:54, 18 April 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
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
