SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS-Reference-Cited by-同舟云学术

SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS

Published:2001-04 Issue:03 Volume:11 Page:475-497
ISSN:0218-2025
Container-title:Mathematical Models and Methods in Applied Sciences
language:en
Short-container-title:Math. Models Methods Appl. Sci.

Author:

BARUCCI E.¹,POLIDORO S.²,VESPRI V.³

Affiliation:

1. Dipartimento di Statistica e Matematica Applicata all'Economia, Università di Pisa, Italy

2. Dipartimento di Matematica, Università degli Studi di Bologna, Italia

3. Dipartimento di Matematica "Ulisse Dini", Università degli Studi di Firenze, Italia, Italy

Abstract

We analyze partial differential equations arising in the evaluation of Asian options. The equations are strongly degenerate partial differential equations in three dimensions. We show that the solution of the no-arbitrage partial differential equation is sufficiently regular and standard numerical methods can be employed to approximate it.

Publisher

World Scientific Pub Co Pte Lt

Subject

Applied Mathematics,Modeling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218202501000945

Reference23 articles.

1. A P.D.E. approach to Asian options: analytical and numerical evidence

2. Uniqueness of positive solutions of parabolic equations with unbounded coefficients

3. CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY

4. The pricing of forward-starting asian options

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