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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 


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.

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.

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