- Volume 52 Issue 3
DOI QR Code
REGULARITY OF A DEGENERATE PARABOLIC EQUATION APPEARING IN VECER'S UNIFIED PRICING OF ASIAN OPTIONS
- Dong, Hongjie (Division of Applied Mathematics Brown University) ;
- Kim, Seick (Department of Mathematics Yonsei University)
- Received : 2014.06.03
- Published : 2015.05.31
Vecer derived a degenerate parabolic equation characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to Vecer's PDE but it remained unclear whether the probabilistic solution is a classical solution. We prove that the probabilistic solution to Vecer's PDE is indeed regular.
Supported by : NSF, NRF
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