[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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@article{CRMATH_2009__347_23-24_1443_0,
author = {Monti, Laura and Pascucci, Andrea},
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},
url = {http://www.numdam.org/articles/10.1016/j.crma.2009.10.019/}
}
TY - JOUR AU - Monti, Laura AU - Pascucci, Andrea TI - Obstacle problem for Arithmetic Asian options JO - Comptes Rendus. Mathématique PY - 2009 SP - 1443 EP - 1446 VL - 347 IS - 23-24 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2009.10.019/ DO - 10.1016/j.crma.2009.10.019 LA - en ID - CRMATH_2009__347_23-24_1443_0 ER -
%0 Journal Article %A Monti, Laura %A Pascucci, Andrea %T Obstacle problem for Arithmetic Asian options %J Comptes Rendus. Mathématique %D 2009 %P 1443-1446 %V 347 %N 23-24 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2009.10.019/ %R 10.1016/j.crma.2009.10.019 %G en %F CRMATH_2009__347_23-24_1443_0
Monti, Laura; Pascucci, Andrea. Obstacle problem for Arithmetic Asian options. Comptes Rendus. Mathématique, Tome 347 (2009) no. 23-24, pp. 1443-1446. doi : 10.1016/j.crma.2009.10.019. http://www.numdam.org/articles/10.1016/j.crma.2009.10.019/
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