We analyze partial differential equations arising in the evaluation of Asian options. The equations are strongly degenerate partial differential equations in three dimensions. We show that the solution of the no-arbitrage partial differential equation is sufficiently regular and standard numerical methods can be employed to approximate it.
SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS / E. BARUCCI; S. POLIDORO; V. VESPRI. - In: MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES. - ISSN 0218-2025. - STAMPA. - 11, no. 3:(2001), pp. 475-497. [10.1142/S0218202501000945]
SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
VESPRI, VINCENZO
2001
Abstract
We analyze partial differential equations arising in the evaluation of Asian options. The equations are strongly degenerate partial differential equations in three dimensions. We show that the solution of the no-arbitrage partial differential equation is sufficiently regular and standard numerical methods can be employed to approximate it.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
