On a degenerate parabolic equation arising in pricing of Asian options

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)326-333
Number of pages8
JournalJournal of Mathematical Analysis and Applications
Volume351
Issue number1
DOIs
Publication statusPublished - 2009 Mar 1

Fingerprint

Asian Options
Degenerate Parabolic Equation
Generalized Solution
Pricing
Boundary conditions
Partial Differential Operators
Parabolic Partial Differential Equations
Classical Solution
Degeneracy
Partial differential equations
Mathematical operators
Costs
Regularity

All Science Journal Classification (ASJC) codes

  • Analysis
  • Applied Mathematics

Cite this

@article{7d4fd8e7213f41f9a82e0c9c4e123cee,
title = "On a degenerate parabolic equation arising in pricing of Asian options",
abstract = "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.",
author = "Seick Kim",
year = "2009",
month = "3",
day = "1",
doi = "10.1016/j.jmaa.2008.10.019",
language = "English",
volume = "351",
pages = "326--333",
journal = "Journal of Mathematical Analysis and Applications",
issn = "0022-247X",
publisher = "Academic Press Inc.",
number = "1",

}

On a degenerate parabolic equation arising in pricing of Asian options. / Kim, Seick.

In: Journal of Mathematical Analysis and Applications, Vol. 351, No. 1, 01.03.2009, p. 326-333.

Research output: Contribution to journalArticle

TY - JOUR

T1 - On a degenerate parabolic equation arising in pricing of Asian options

AU - Kim, Seick

PY - 2009/3/1

Y1 - 2009/3/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=56549112726&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=56549112726&partnerID=8YFLogxK

U2 - 10.1016/j.jmaa.2008.10.019

DO - 10.1016/j.jmaa.2008.10.019

M3 - Article

VL - 351

SP - 326

EP - 333

JO - Journal of Mathematical Analysis and Applications

JF - Journal of Mathematical Analysis and Applications

SN - 0022-247X

IS - 1

ER -