Monti, Laura ; Pascucci, Andrea
(2009)
Obstacle problem for Arithmetic Asian options.
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Abstract
We prove existence, regularity and a Feynman-Kac representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.
Abstract
We prove existence, regularity and a Feynman-Kac representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.
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Article
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DOI
Deposit date
22 Oct 2009 11:35
Last modified
16 May 2011 12:11
URI
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Document type
Article
Creators
Subjects
DOI
Deposit date
22 Oct 2009 11:35
Last modified
16 May 2011 12:11
URI
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