Abstract
Vecer derived a degenerate parabolic equation characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to Vecer’s PDE but it remained unclear whether the probabilistic solution is a classical solution. We prove that the probabilistic solution to Vecer’s PDE is indeed regular.
Original language | English |
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Pages (from-to) | 947-953 |
Number of pages | 7 |
Journal | Bulletin of the Korean Mathematical Society |
Volume | 52 |
Issue number | 3 |
DOIs | |
Publication status | Published - 2015 |
Bibliographical note
Publisher Copyright:©2015 Korean Mathematical Society.
All Science Journal Classification (ASJC) codes
- Mathematics(all)