Obstacle problem for arithmetic Asian options

DOI10.1016/J.CRMA.2009.10.019zbMath1178.91201arXiv0910.4257OpenAlexW2097916665MaRDI QIDQ1046556

Andrea Pascucci, Laura Monti

Publication date: 22 December 2009

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.4257

zbMATH Keywords

local volatilitySDEdegenerate parabolic PDEAmerasian optionarithmetic average and geometric average Asian optionFeynamn-Kač

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Degenerate parabolic equations (35K65) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Existence of a fundamental solution of partial differential equations associated to Asian options ⋮ Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options ⋮ Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem ⋮ A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition ⋮ Singular risk-neutral valuation equations ⋮ Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options ⋮ Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs

Cites Work

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• Free boundary and optimal stopping problems for American Asian options
• Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
• A variational inequality approach to financial valuation of retirement benefits based on salary
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• The value of an Asian option
• The obstacle problem for a class of hypoelliptic ultraparabolic equations

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