scientific article

zbMath1235.35288MaRDI QIDQ3224750

Saiful Hafizah Jaaman, Zieneb Ali Elshegmani, Rokiah Rozita Ahmad

Publication date: 2 April 2012

Full work available at URL: http://www.m-hikari.com/ams/ams-2011/ams-25-28-2011/index.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic differential equationpartial differential equationsarithmetic Asian option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Fourier transform of the continuous arithmetic Asian options PDE

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