Obstacle problem for arithmetic Asian options (Q1046556): Difference between revisions
From MaRDI portal
Latest revision as of 08:29, 2 July 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
0 references
0 references