논문KCI 등재
REGULARITY OF A DEGENERATE PARABOLIC EQUATION APPEARING IN VECER’S UNIFIED PRICING OF ASIAN OPTIONS
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초록
Vecer derived a degenerate parabolic equation characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to Vecer’s PDE but it remained unclear whether the probabilistic solution is a classical solution. We prove that the probabilistic solution to Vecer’s PDE is indeed regular.
Abstract
Vecer derived a degenerate parabolic equation characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to Vecer’s PDE but it remained unclear whether the probabilistic solution is a classical solution. We prove that the probabilistic solution to Vecer’s PDE is indeed regular.
참고문헌 (4)
- S. Kim, "On a degenerate parabolic equation arising in pricing of Asian options", J. Math. Anal. Appl, 351(1), pp.326~333 (2009)
- N. V. Krylov, "Introduction to the Theory of Diffusion Processes" (1995), American Mathematical Society
- N. V. Krylov, "Lectures on Elliptic and Parabolic Equations in H¨older Spaces" (1996), American Math-ematical Society
- J. Vecer, "Unified Asian Pricing", Risk, 15(6), pp.113~116 (2002)
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