Some results on partial differential equations and Asian options

Mathematical Models and Methods in Applied Sciences

Volumn 11, Issue 3, 2001, Pages 475-497

  Barucci, E ^a   Polidoro, S ^b   Vespri, V ^c  

^a UNIVERSITY OF PISA   (Italy)

^b UNIVERSITY OF BOLOGNA   (Italy)

^c UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Asian options; Contingent claims valuation; Finite difference methods; Hypoellitic equations; Ultraparabolic partial differential equations

Indexed keywords

EID: 0035589122     PISSN: 02182025     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0218202501000945     Document Type: Article

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