Some results on partial differential equations and Asian options. (English) Zbl 1034.35166

Barucci, E.; Polidoro, S.; Vespri, V.

Math. Models Methods Appl. Sci. 11, No. 3, 475-497 (2001).

MSC:

35R60	PDEs with randomness, stochastic partial differential equations
91B28	Finance etc. (MSC2000)
35H10	Hypoelliptic equations

Keywords:

ultraparabolic partial differential equations; hypoelliptic equations; finite difference methods; continguent claims valuation

References:

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