On the Valuation of Asian Options by Variational Methods

DOI10.1137/S1064827501388169zbMath1036.60034MaRDI QIDQ4442105

Michael D. Marcozzi

Publication date: 20 January 2004

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingAsian optionsGalerkin approximationultraparabolic operators

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Stopping times; optimal stopping problems; gambling theory (60G40)

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