Obstacle problem for Arithmetic Asian options
classification
🧮 math.AP
q-fin.CP
keywords
problemarithmeticasianamericanarisingaverageboundaryexistence
read the original abstract
We prove existence, regularity and a Feynman-Ka\v{c} 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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