On a degenerate parabolic equation arising in pricing of Asian options

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:351

Article

Kim, Seick

关键词: Asian options;    Degenerate parabolic equation;    Regularity of solutions;   

DOI  :  10.1016/j.jmaa.2008.10.019

来源: Elsevier

【 摘 要 】

We study a certain one-dimensional, degenerate parabolic partial differential equation with a boundary condition which arises in pricing of Asian options. Due to degeneracy of the partial differential operator and the non-smooth boundary condition, regularity of the generalized Solution of such a problem remained unclear. We prove that the generalized Solution of the problem is indeed a classical solution. (C) 2008 Elsevier Inc. All rights reserved.

【 授权许可】

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