Comptes Rendus
no. 23-24
Mathematical Economics/Partial Differential Equations
Obstacle problem for Arithmetic Asian options
[Problème de l'obstacle pour l'option américain asiatique à moyenne arithmétique]

Présenté par : Olivier Pironneau

Laura Monti1 ; Andrea Pascucci1
1 Dipartimento di Matematica, Università di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy
Comptes Rendus. Mathématique, Volume 347 (2009) no. 23-24, pp. 1443-1446.

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.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2009.10.019
Laura Monti 1 ; Andrea Pascucci 1

1 Dipartimento di Matematica, Università di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy 
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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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