Obstacle problem for Arithmetic Asian options
نویسندگان
چکیده
منابع مشابه
Obstacle problem for Arithmetic Asian options
We prove existence, regularity and a Feynman–Kač 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. To cite this article: L. Monti, A. Pascucci, C. R. Acad. Sci. Paris, Ser. I 347 (2009). © 2009 Académie des sciences. Published by Elsevier Masson SAS. All rights reserved...
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ژورنال
عنوان ژورنال: Comptes Rendus Mathematique
سال: 2009
ISSN: 1631-073X
DOI: 10.1016/j.crma.2009.10.019