Existence of a fundamental solution of partial differential equations associated to Asian options
نویسندگان
چکیده
We prove the existence and uniqueness of fundamental solution for Kolmogorov operators associated to some stochastic processes, that arise in Black & Scholes setting pricing problem relevant path dependent options. improve previous results we provide a closed form expression Cauchy under weak regularity assumptions on coefficients differential operator. Our method is based limiting procedure, whose convergence relies barrier arguments uniform priori estimates recently discovered.
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ژورنال
عنوان ژورنال: Nonlinear Analysis-real World Applications
سال: 2021
ISSN: ['1878-5719', '1468-1218']
DOI: https://doi.org/10.1016/j.nonrwa.2021.103373