[Problème de l'obstacle pour l'option américain asiatique à moyenne arithmétique]
On démontre l'existence, la régularité et une formule de représentation de Feynman–Kač de la solution forte d'un problème avec frontière libre. Ce type de problème on le retrouve en finance pour évaluer le prix d'une option asiatique à moyenne arithmétique de style américain.
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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Publié le :
Laura Monti 1 ; Andrea Pascucci 1
@article{CRMATH_2009__347_23-24_1443_0, author = {Laura Monti and Andrea Pascucci}, title = {Obstacle problem for {Arithmetic} {Asian} options}, journal = {Comptes Rendus. Math\'ematique}, pages = {1443--1446}, publisher = {Elsevier}, volume = {347}, number = {23-24}, year = {2009}, doi = {10.1016/j.crma.2009.10.019}, language = {en}, }
Laura Monti; Andrea Pascucci. Obstacle problem for Arithmetic Asian options. Comptes Rendus. Mathématique, Volume 347 (2009) no. 23-24, pp. 1443-1446. doi : 10.1016/j.crma.2009.10.019. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2009.10.019/
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