A mathematical analysis of the resonance of the finite thin slots

  • Authors:

  • M. Clausel;M. Duruflé;P. Joly;S. Tordeux

  • Affiliations:

  • Projets POems: unité de recherche mixte CNRS-ENSTA-INRIA, Le Chesnay cedex, France and INRIA, Projet Ondes, INRIA, Domaine de Voluceau, Rocquencourt, Le Chesnay cedex, France;Projets POems: unité de recherche mixte CNRS-ENSTA-INRIA, Le Chesnay cedex, France and INRIA, Projet Ondes, INRIA, Domaine de Voluceau, Rocquencourt, Le Chesnay cedex, France;Projets POems: unité de recherche mixte CNRS-ENSTA-INRIA, Le Chesnay cedex, France and INRIA, Projet Ondes, INRIA, Domaine de Voluceau, Rocquencourt, Le Chesnay cedex, France;Projets POems: unité de recherche mixte CNRS-ENSTA-INRIA, Le Chesnay cedex, France and INRIA, Projet Ondes, INRIA, Domaine de Voluceau, Rocquencourt, Le Chesnay cedex, France and Seminar for ...

  • Venue:
  • Applied Numerical Mathematics - Selected papers from the first Chilean workshop on numerical analysis of partial differential equations (WONAPDE 2004)
  • Year:
  • 2006

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Abstract

Asian options prices can be modelled in the Black-Scholes framework leading to two-factor models depending on the asset price, the average of the asset price and the time. They can also involve inequality constraints, as in the case of Amerasian options, ...