Some results on partial differential equations and Asian options. (English) Zbl 1034.35166
Summary: 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.
MSC:
| 35R60 | PDEs with randomness, stochastic partial differential equations |
| 91B28 | Finance etc. (MSC2000) |
| 35H10 | Hypoelliptic equations |
Keywords:
ultraparabolic partial differential equations; hypoelliptic equations; finite difference methods; continguent claims valuationReferences:
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