On a degenerate parabolic equation arising in pricing of Asian options
arXiv:0805.1101 · doi:10.1016/j.jmaa.2008.10.019
Abstract
We study a certain one dimensional, degenerate parabolic partial differential equation with a boundary condition which arises in pricing of Asian options. Due to degeneracy of the partial differential operator and the non-smooth boundary condition, regularity of the generalized solution of such a problem remained unclear. We prove that the generalized solution of the problem is indeed a classical solution.
9 pages