Theoretical studies on heterogeneous deflagration waves. 1. A partial differential equation formulation of the problem

Meccanica ◽  
1978 ◽  
Vol 13 (1) ◽  
pp. 16-27 ◽  
Author(s):  
Luigi De Luca
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Theoretical Studies ◽  
Partial Differential ◽  
Equation Formulation

ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE

1999 ◽  
Vol 02 (01) ◽  
pp. 101-111 ◽  
Author(s):  
LIXIN WU ◽  
YUE KUEN KWOK ◽  
HONG YU
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Integral Representation ◽  
Asian Option ◽  
Asian Options ◽  
Partial Differential ◽  
Early Exercise ◽  
Equation Formulation ◽  
Option Model ◽  
Early Exercise Premium

By appropriate scaling of the variables, the reduction in the dimensionality of the partial differential equation formulation of an American-style Asian option model is achieved. The integral representation of the early exercise premium can be obtained in a succinct manner. The exercise policy of Asian options with the early exercise provision can then be examined.

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