On a degenerate parabolic equation arising in pricing of Asian options

DOI10.1016/j.jmaa.2008.10.019zbMath1162.35397arXiv0805.1101OpenAlexW1997426881MaRDI QIDQ2518299

Seick Kim

Publication date: 15 January 2009

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.1101

zbMATH Keywords

degenerate parabolic equationone space dimensionAsian optionsregularity of solutionsnon-smooth boundary condition

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Generalized solutions to partial differential equations (35D99)

Cites Work

• Hypoelliptic second order differential equations
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