Work

Some Results on Partial Differential Equations and Asian Options

Year: 2001

Type: article

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.

Source: Mathematical Models and Methods in Applied Sciences

DOI: 10.1142/s0218202501000945

Authors: E. BARUCCI, S. POLIDORO, V. VESPRI

Institutions: University of Pisa, University of Bologna, University of Florence

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Università di Bologna

OpenAlex ID: W2082011983

FWCI: 6.246

Cites: 19

Cited by: 139

Related to: 10