Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives

Details Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives

2009-02-10

arxiv.org/abs/0902.1721v2

Economy

Quantitative Finance

Computational Finance

Scientific paper

This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and on the investigation of differential and certain qualitative properties of solutions of such equations. The generalized solvability for such models with degeneracy at the boundaries is proven by employing solutions obtained from finite difference numerical schemes. Furthermore, the regularity of such solutions is studied.

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