Article

Access to the text (HTML) Access to the text (HTML)
PDF Access to the PDF text
Advertising


Access to the full text of this article requires a subscription.
  • If you are a subscriber, please sign in 'My Account' at the top right of the screen.

  • If you want to subscribe to this journal, see our rates

  • You can purchase this item in Pay Per ViewPay per View - FAQ : 33,00 € Taxes included to order
    Pages Iconography Videos Other
    4 0 0 0


Comptes Rendus Mathématique
Volume 347, n° 23-24
pages 1443-1446 (décembre 2009)
Doi : 10.1016/j.crma.2009.10.019
Received : 22 October 2009 ;  accepted : 23 October 2009
Obstacle problem for Arithmetic Asian options
Problème de l’obstacle pour l’option américain asiatique à moyenne arithmétique
 

Laura Monti , Andrea Pascucci
Dipartimento di Matematica, Università di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy 

Abstract

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. To cite this article: L. Monti, A. Pascucci, C. R. Acad. Sci. Paris, Ser. I 347 (2009).

The full text of this article is available in PDF format.
Résumé

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. Pour citer cet article : L. Monti, A. Pascucci, C. R. Acad. Sci. Paris, Ser. I 347 (2009).

The full text of this article is available in PDF format.


© 2009  Académie des sciences@@#104156@@
EM-CONSULTE.COM is registrered at the CNIL, déclaration n° 1286925.
As per the Law relating to information storage and personal integrity, you have the right to oppose (art 26 of that law), access (art 34 of that law) and rectify (art 36 of that law) your personal data. You may thus request that your data, should it be inaccurate, incomplete, unclear, outdated, not be used or stored, be corrected, clarified, updated or deleted.
Personal information regarding our website's visitors, including their identity, is confidential.
The owners of this website hereby guarantee to respect the legal confidentiality conditions, applicable in France, and not to disclose this data to third parties.
Close
Article Outline
You can move this window by clicking on the headline
@@#110903@@