首页 | 本学科首页   官方微博 | 高级检索  
     


Existence of a fundamental solution of partial differential equations associated to Asian options
Affiliation:1. Department of Mathematics, Indian Institute of Engineering Science and Technology, Shibpur, India;2. Department of Mathematics, University of North Bengal, Darjeeling 734013, India;3. Department of Applied Mathematics, University of Calcutta, Kolkata 700009, India
Abstract:We prove the existence and uniqueness of the fundamental solution for Kolmogorov operators associated to some stochastic processes, that arise in the Black & Scholes setting for the pricing problem relevant to path dependent options. We improve previous results in that we provide a closed form expression for the solution of the Cauchy problem under weak regularity assumptions on the coefficients of the differential operator. Our method is based on a limiting procedure, whose convergence relies on some barrier arguments and uniform a priori estimates recently discovered.
Keywords:Partial differential equations  Option pricing  Kolmogorov operator
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号