Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients
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Publication:539363
DOI10.1155/2011/401547zbMath1213.91149OpenAlexW2033018597WikidataQ58687775 ScholiaQ58687775MaRDI QIDQ539363
Roza Hazli Zakaria, Saiful Hafiza Jaaman, Rokiah Rozita Ahmad, Zieneb Ali Elshegmani
Publication date: 27 May 2011
Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/225474
Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10)
Cites Work
- Unnamed Item
- A different approach for pricing Asian options
- Accurate pricing formulas for Asian options
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
- The value of an Asian option
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