Obstacle problem for Arithmetic Asian options |
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| Authors: | Laura Monti Andrea Pascucci |
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| Institution: | Dipartimento di Matematica, Università di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy |
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| Abstract: | We prove existence, regularity and a Feynman–Ka? 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). |
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