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q-fin.PR2018
Asian Option Pricing under Uncertain Volatility Model
Yuecai Han, Chunyang Liu
In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian…
math.PR2018
Exit problem as the generalized solution of Dirichlet problem
Yuecai Han, Qingshuo Song, Gu Wang
This paper investigates sufficient conditions for a Feynman-Kac functional up to an exit time to be the generalized viscosity solution of a Dirichlet problem. The key ingredient is…