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Obstacle problem for Arithmetic Asian options

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  • Laura Monti
  • Andrea Pascucci

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.

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  • Laura Monti & Andrea Pascucci, 2009. "Obstacle problem for Arithmetic Asian options," Papers 0910.4257, arXiv.org.
    • Handle: RePEc:arx:papers:0910.4257
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    1. Buckdahn, R. & Pardoux, E., 1994. "BSDE's with jumps and associated integro-partial differential equations," SFB 373 Discussion Papers 1994,41, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    Cited by:

    1. Calvo-Garrido, Maria del Carmen & Pascucci, Andrea & Vázquez Cendón, Carlos, 2012. "Mathematical analysis and numerical methods for pricing pension plans allowing early retirement," MPRA Paper 36494, University Library of Munich, Germany.
    2. Cristina Costantini & Marco Papi & Fernanda D’Ippoliti, 2012. "Singular risk-neutral valuation equations," Finance and Stochastics, Springer, vol. 16(2), pages 249-274, April.

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