We consider the Partial Differential Equation describing the price of an Asian Options in the Black & Scholes model. We prove the existence, the uniqueness and the regularity of the solution. We give explicit and implicit numerical methods to construct numerical solutions
Some Results on Partial Differential Equations and Asian Options / Barucci, E.; Polidoro, Sergio. - In: MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES. - ISSN 0218-2025. - STAMPA. - 11:3(2001), pp. 475-497. [10.1142/S0218202501000945]
Some Results on Partial Differential Equations and Asian Options
POLIDORO, Sergio
2001
Abstract
We consider the Partial Differential Equation describing the price of an Asian Options in the Black & Scholes model. We prove the existence, the uniqueness and the regularity of the solution. We give explicit and implicit numerical methods to construct numerical solutions
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