On a degenerate parabolic equation arising in pricing of Asian options

Details On a degenerate parabolic equation arising in pricing of Asian options On a degenerate parabolic equation arising in pricing of Asian options

2008-05-08

arxiv.org/abs/0805.1101v1

J. Math. Anal. Appl. 351 (2009) no. 1, pp. 326-333

Mathematics

Analysis of PDEs

9 pages

Scientific paper

10.1016/j.jmaa.2008.10.019

We study a certain one dimensional, degenerate parabolic partial differential equation with a boundary condition which arises in pricing of Asian options. Due to degeneracy of the partial differential operator and the non-smooth boundary condition, regularity of the generalized solution of such a problem remained unclear. We prove that the generalized solution of the problem is indeed a classical solution.

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