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arXiv · 0910.4257

Obstacle problem for Arithmetic Asian options

Laura Monti·Andrea Pascucci
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Abstract

We prove existence, regularity and a Feynman-Kač representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.

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Laura Monti, Andrea Pascucci. 2009-10-22. Obstacle problem for Arithmetic Asian options. https://arxiv.org/abs/0910.4257

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