Obstacle problem for Arithmetic Asian options

Laura Monti and Andrea Pascucci

Papers from arXiv.org

Abstract: 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.

Date: 2009-10
New Economics Papers: this item is included in nep-sea
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