The boundary value formulation of the Asian call option

DOI10.1007/978-88-470-2089-4_38zbMath1069.91052OpenAlexW2230359088MaRDI QIDQ4462366

Jens Hugger

Publication date: 18 May 2004

Published in: Numerical Mathematics and Advanced Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-88-470-2089-4_38

zbMATH Keywords

convection-diffusion-type problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Wellposedness of the boundary value formulation of a fixed strike Asian option

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