SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
2001 ◽
Vol 11
(03)
◽
pp. 475-497
◽
Keyword(s):
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.
1927 ◽
Vol 46
◽
pp. 126-135
◽
1985 ◽
Vol 5
(3)
◽
pp. 437-443
◽
1898 ◽
Vol 62
(379-387)
◽
pp. 283-285
2021 ◽
Vol 12
(2)
◽
pp. 2810-2813