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Vecer derived a degenerate parabolic equation characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to Vecer’s PDE but it remained unclear whether the probabilistic solution is a classical solution. We prove that the probabilistic solution to Vecer’s PDE is indeed regular.
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참고문헌 (4)
참고문헌 신청
J. Vecer / 2002 / Unified Asian Pricing / Risk 15 (6) : 113 ~ 116
N. V. Krylov / 1995 / Introduction to the Theory of Diffusion Processes / American Mathematical Society
N. V. Krylov / 1996 / Lectures on Elliptic and Parabolic Equations in H¨older Spaces / American Math-ematical Society
S. Kim / 2009 / On a degenerate parabolic equation arising in pricing of Asian options / J. Math. Anal. Appl 351 (1) : 326 ~ 333
N. V. Krylov / 1995 / Introduction to the Theory of Diffusion Processes / American Mathematical Society
N. V. Krylov / 1996 / Lectures on Elliptic and Parabolic Equations in H¨older Spaces / American Math-ematical Society
S. Kim / 2009 / On a degenerate parabolic equation arising in pricing of Asian options / J. Math. Anal. Appl 351 (1) : 326 ~ 333
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