On a degenerate parabolic equation arising in pricing of Asian options
| dc.creator | Kim, Seick | |
| dc.date | 2008-05-08 | |
| dc.date.accessioned | 2026-07-07T12:38:37Z | |
| dc.date.available | 2026-07-07T12:38:37Z | |
| dc.description | 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. | |
| dc.description | 9 pages | |
| dc.identifier | https://arxiv.org/abs/0805.1101 | |
| dc.identifier | http://arxiv.org/abs/0805.1101 | |
| dc.identifier | J. Math. Anal. Appl. 351 (2009) no. 1, pp. 326-333 | |
| dc.identifier | doi:10.1016/j.jmaa.2008.10.019 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/218824 | |
| dc.subject | Analysis of PDEs | |
| dc.subject | 35B65; 35K20; 91B28 | |
| dc.title | On a degenerate parabolic equation arising in pricing of Asian options | |
| dc.type | text |