Obstacle problem for arithmetic Asian options (Q1046556)

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Obstacle problem for arithmetic Asian options
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    title
    Obstacle problem for arithmetic Asian options (English)
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    author
    Laura Monti
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    Andrea Pascucci
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    publication date
    22 December 2009
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    Mathematics Subject Classification ID
    91G20
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    35K65
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    35K20
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    91G80
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    zbMATH DE Number
    5651252
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    zbMATH Keywords
    degenerate parabolic PDE
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    SDE
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    local volatility
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    arithmetic average and geometric average Asian option
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    Amerasian option
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    Feynamn-Kač
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