Pricing Asian options by PDEs. Show that the functions (g(t, z)) and (h(t, y)) are linked by
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Pricing Asian options by PDEs. Show that the functions \(g(t, z)\) and \(h(t, y)\) are linked by the relation
\[g(t, z)=h\left(t, \frac{1-\mathrm{e}^{-(T-t) r}}{r T}+\mathrm{e}^{-(T-t) r} z\right), \quad 0 \leqslant t \leqslant T, \quad z>0\]
and that the PDE for \(h(t, y)\) can be derived from the PDE (1.33) for \(g(t, z)\) and the above relation.
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Related Book For
Introduction To Stochastic Finance With Market Examples
ISBN: 9781032288277
2nd Edition
Authors: Nicolas Privault
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