Obstacle problem for Arithmetic Asian options
Analysis of PDEs
2009-10-23 v1 Computational Finance
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.
Cite
@article{arxiv.0910.4257,
title = {Obstacle problem for Arithmetic Asian options},
author = {Laura Monti and Andrea Pascucci},
journal= {arXiv preprint arXiv:0910.4257},
year = {2009}
}