DOI QR코드

DOI QR Code

REGULARITY OF A DEGENERATE PARABOLIC EQUATION APPEARING IN VECER'S UNIFIED PRICING OF ASIAN OPTIONS

  • Dong, Hongjie ;
  • Kim, Seick
  • 투고 : 2014.06.03
  • 발행 : 2015.05.31

초록

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.

키워드

Asian options;degenerate parabolic equation;regularity of solutions

참고문헌

  1. S. Kim, On a degenerate parabolic equation arising in pricing of Asian options, J. Math. Anal. Appl. 351 (2009), no. 1, 326-333. https://doi.org/10.1016/j.jmaa.2008.10.019
  2. N. V. Krylov, Introduction to the Theory of Diffusion Processes, American Mathematical Society, Providence, RI, 1995.
  3. N. V. Krylov, Lectures on Elliptic and Parabolic Equations in Holder Spaces, American Mathematical Society, Providence, RI, 1996.
  4. J. Vecer, Unified Asian Pricing, Risk 15 (2002), no. 6, 113-116.

과제정보

연구 과제 주관 기관 : NSF, NRF