Sharp Estimates for Geman-Yor Processes and applications to Arithmetic Average Asian options

We prove the existence and pointwise lower and upper bounds for the fundamental solution of the degenerate second order partial differential equation related to Geman-Yor stochastic processes, that arise in models for option pricing theory in finance. Lower bounds are obtained by using repeatedly an...

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Hauptverfasser:	Cibelli, Gennaro, Polidoro, Sergio, Rossi, Francesco
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Analysis of PDEs
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