Obstacle problem for Arithmetic Asian options

2009/10/22 by Laura Monti, Monti, Laura, Andrea Pascucci +1
Economics, Econometrics and Finance · Mathematics · #35K70 #35Q91 #35R03 #35R35 #Analysis of PDEs (math.AP) #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #math.AP #msc:35K70 #msc:35Q91 #msc:35R03 #msc:35R35 #q-fin.CP

paper · pdf · doi:10.48550/arxiv.0910.4257

arxiv created 2009/10/22 · arxiv updated 2009/12/01

Abstract

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.

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