Obstacle problem for Arithmetic Asian options

Details Obstacle problem for Arithmetic Asian options Obstacle problem for Arithmetic Asian options

2009-10-22

arxiv.org/abs/0910.4257v1

Mathematics

Analysis of PDEs

Scientific paper

We prove existence, regularity and a Feynman-Ka\v{c} representation formula
of the strong solution to the free boundary problem arising in the financial
problem of the pricing of the American Asian option with arithmetic average.

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