26 research outputs found
Linear and Nonlinear Ultraparabolic Equations of Kolmogorov Type Arising in Diffusion Theory and in Finance
Jeux différentiels et approximation numérique de fonctions valeur. 2e partie : étude numérique
Jeux différentiels et approximation numérique de fonctions valeur. 1re partie : étude théorique
Jeux différentiels et approximation numérique de fonctions valeur. 2e partie : étude numérique
Jeux différentiels et approximation numérique de fonctions valeur. 1re partie : étude théorique
Jeux différentiels et approximation numérique de fonctions valeur. 2e partie : étude numérique
A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence.
We first derive a one state variable partial differential equation, easy to emplement, which characterizes the price of a European type Asian option. This result is explained and related to previous literature. When we derive new results on the hedging of an Asian option and propose analytical and numerical analysis on the comparison between Asian and European options. Our methodology which applies to "fixed-strike" Asian options as well to "floating-strike" Asian options completes and clarifies various results in the literature. In this paper we focus on "backward-starting" Asian options. Our approach is quite general however, and we explain how to adapt our main results to the case of "forward-starting" Asian options.FINANCIAL MARKET ; PRICING
On some extended Maximum and Antimaximum Principles
We give here new results on eigenvalue problems and on the maximum or the antimaximum principle for some elliptic problems with weights which are either defined on IRN or defined on non smooth domains