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SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS

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References

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2010Density estimates for a random noise propagating through a chain of differential equations130 cited
2011Parametrix techniques and martingale problems for some degenerate Kolmogorov equations58 cited
2007Free boundary and optimal stopping problems for American Asian options51 cited
2004On the complete model with stochastic volatility by Hobson and Rogers43 cited
2005Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations40 cited
2012Approximations for Asian options in local volatility models40 cited
2016A parametrix approach for some degenerate stable driven SDEs35 cited
2010Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility

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33 cited

2007Path dependent volatility33 cited

2006Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange–Galerkin methods32 cited

2015Numerical schemes for pricing Asian options under state-dependent regime-switching jump–diffusion models29 cited

2007A continuous dependence result for ultraparabolic equations in option pricing28 cited