On a degenerate parabolic equation arising in pricing of Asian options

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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

All Science Journal Classification (ASJC) codes

  • Analysis
  • Applied Mathematics

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