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arXiv · 0903.0221

Regularity of a degenerate parabolic equation appearing in Vecer's unified pricing of Asian options

Hongjie Dong·Seick Kim
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Abstract

Vecer derived a degenerate parabolic equation with a boundary condition characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to such a problem but it remained unclear whether the probabilistic solution is a classical solution. We prove that the probabilistic solutions to Vecer's PDE are regular.

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Hongjie Dong, Seick Kim. 2009-03-02. Regularity of a degenerate parabolic equation appearing in Vecer's unified pricing of Asian options. https://doi.org/10.4134/bkms.2015.52.3.947

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