Some results on partial differential equations and Asian options

被引：97

作者：

Barucci, E ^{[1
]}

Polidoro, S

Vespri, V

机构：

[1] Univ Pisa, Dipartimento Stat & Matemat Applicata Econ, Pisa, Italy

[2] Univ Bologna, Dipartmento Matemat, Bologna, Italy

[3] Univ Florence, Dipartimento Matemat Ulisse Dini, Florence, Italy

来源：

MATHEMATICAL MODELS & METHODS IN APPLIED SCIENCES | 2001年 / 11卷 / 03期

关键词：

ultraparabolic partial differential equations; hypoellitic equations; finite difference methods; contingent claims valuation; Asian options;

D O I：

10.1142/S0218202501000945

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

dWe 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.

引用

页码：475 / 497

页数：23

共 33 条

[1] A PDE approach to Asian options: Analytical and numerical evidence [J].