Regularity of a degenerate parabolic equation appearing in Vecer’s unified pricing of Asian options

Hongjie Dong; Seick Kim

doi:10.4134/BKMS.2015.52.3.947

Regularity of a degenerate parabolic equation appearing in Vecer’s unified pricing of Asian options

Hongjie Dong, Seick Kim

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

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
Pages (from-to)	947-953
Number of pages	7
Journal	Bulletin of the Korean Mathematical Society
Volume	52
Issue number	3
DOIs	https://doi.org/10.4134/BKMS.2015.52.3.947
Publication status	Published - 2015

Bibliographical note

Publisher Copyright:
©2015 Korean Mathematical Society.

All Science Journal Classification (ASJC) codes

Mathematics(all)

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10.4134/BKMS.2015.52.3.947

Cite this

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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{\textquoteright}s PDE but it remained unclear whether the probabilistic solution is a classical solution. We prove that the probabilistic solution to Vecer{\textquoteright}s PDE is indeed regular.",

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Regularity of a degenerate parabolic equation appearing in Vecer’s unified pricing of Asian options

Abstract

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