Existence of a fundamental solution of partial differential equations associated to Asian options

DOI10.1016/j.nonrwa.2021.103373zbMath1475.91348arXiv2007.09037OpenAlexW3043109681MaRDI QIDQ2665499

Sergio Polidoro, Silvia Muzzioli, Francesca Anceschi

Publication date: 19 November 2021

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.09037

zbMATH Keywords

option pricingpartial differential equationsKolmogorov operator

Mathematics Subject Classification ID

Riesz operators; eigenvalue distributions; approximation numbers, (s)-numbers, Kolmogorov numbers, entropy numbers, etc. of operators (47B06) A priori estimates in context of PDEs (35B45) Derivative securities (option pricing, hedging, etc.) (91G20) Hypoelliptic equations (35H10) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70)

Related Items (5)

Spatial regularity for a class of degenerate Kolmogorov equations ⋮ Global \({L}_p\) estimates for kinetic Kolmogorov-Fokker-Planck equations in nondivergence form ⋮ On the fundamental solution for degenerate Kolmogorov equations with rough coefficients ⋮ Unnamed Item ⋮ \(L_1\) and \(L_{\infty}\) stability of transition densities of perturbed diffusions

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