Mathematical Economics/Partial Differential Equations
Obstacle problem for Arithmetic Asian options
Comptes Rendus. Mathématique, Volume 347 (2009) no. 23-24, pp. 1443-1446.

We prove existence, regularity and a Feynman–Kač 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.

On démontre l'existence, la régularité et une formule de représentation de Feynman–Kač de la solution forte d'un problème avec frontière libre. Ce type de problème on le retrouve en finance pour évaluer le prix d'une option asiatique à moyenne arithmétique de style américain.

Received:
Accepted:
Published online:
DOI: 10.1016/j.crma.2009.10.019
Monti, Laura 1; Pascucci, Andrea 1

1 Dipartimento di Matematica, Università di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy
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Monti, Laura; Pascucci, Andrea. Obstacle problem for Arithmetic Asian options. Comptes Rendus. Mathématique, Volume 347 (2009) no. 23-24, pp. 1443-1446. doi : 10.1016/j.crma.2009.10.019. http://www.numdam.org/articles/10.1016/j.crma.2009.10.019/

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