scholarly journals Linearly degenerate partial differential equations and quadratic line complexes

2015 ◽  
Vol 23 (1) ◽  
pp. 91-127 ◽  
Author(s):  
E. V. Ferapontov ◽  
J. Mos
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Partial Differential ◽  
Degenerate Partial Differential Equations ◽  
Linearly Degenerate

SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS

2001 ◽  
Vol 11 (03) ◽  
pp. 475-497 ◽  
Author(s):  
E. BARUCCI ◽  
S. POLIDORO ◽  
V. VESPRI
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Three Dimensions ◽  
Asian Options ◽  
Partial Differential ◽  
No Arbitrage ◽  
Strongly Degenerate ◽  
Degenerate Partial Differential Equations

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.

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