SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS

DOI10.1142/S0218202501000945zbMath1034.35166MaRDI QIDQ4798871

Vincenzo Vespri, Sergio Polidoro, Emilio Basrucci

Publication date: 16 March 2003

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

finite difference methodshypoelliptic equationscontinguent claims valuationultraparabolic partial differential equations

Mathematics Subject Classification ID

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Cites Work

• A finite difference method for a boundary value problem related to the Kolmogorov equation
• Zur Theorie der stetigen zufälligen Prozesse
• Hypoelliptic second order differential equations
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• The value of an Asian option

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